A1552
Title: Strict stationarity and existence of moments for a family of functional GARCHs
Authors: Baye Matar Kandji - CREST, Institut Polytechnique de Paris (France) [presenting]
Abstract: Random coefficient autoregressive models are considered with non-negative coefficients in a Banach lattice. We develop a method using functional analysis tools to establish a necessary and sufficient condition for the existence of weak-order and $s$-strong-order stationary solution, where $s>0$. We apply these results to provide necessary and sufficient conditions for the existence of a stationary solution for a large family of GARCH processes, including functional GARCH models.
