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ON THE STATIONARITY OF DYNAMIC CONDITIONAL CORRELATION MODELS

Published online by Cambridge University Press:  06 May 2016

Jean-David Fermanian and
Hassan Malongo
Jean-David Fermanian*
Affiliation:
Crest-Ensae
Hassan Malongo
Affiliation:
Amundi & Univ. Paris Dauphine
*
*Address correspondence to Jean-David Fermanian, 3 avenue Pierre Larousse, 92245 Malakoff cedex, France, e-mail: jean-david.fermanian@ensae.fr.
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Abstract

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We provide conditions for the existence and the uniqueness of strictly stationary solutions of the usual Dynamic Conditional Correlation GARCH models (DCC-GARCH). The proof is based on Tweedie’s (1988) criteria, after having rewritten DCC-GARCH models as nonlinear Markov chains. We also study the existence of their moments and discuss the tightness of our sufficient conditions.

Information

Type
ARTICLES
Information
Econometric Theory , Volume 33 , Issue 3 , June 2017, pp. 636 - 663
Copyright
Copyright © Cambridge University Press 2016 

Footnotes

We thank C. Francq and J.-M. Zakoïan for their valuable remarks and discussions. Moreover, we are grateful to Eric Renault and two anonymous referees, who have proposed a number of ways of improving the article. Finally, the authors thank the Labex “Ecodec” for its support.

References

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