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A note on the stationarity and the existence of moments of the GARCH model. (English) Zbl 0896.62087
Summary: We examine the strict stationarity and the existence of higher-order moments for the \(\text{GARCH}(p,q)\) models under general and tractable assumptions.

MSC:
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
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