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Statistica Sinica 8(1998), 505-510


A NOTE ON THE STATIONARITY AND THE EXISTENCE

F MOMENTS OF THE GARCH MODEL


Min Chen and Hong Zhi An


Academia Sinica


Abstract: In the present paper we examine the strict stationarity and the existence of higher-order moments for the GARCH(p,q) model under general and tractable assumptions.



Key words and phrases: GARCH model, higher-order moments, nonlinear time series, strict stationarity,



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