Download This PaperOn the Stationarity of Dynamic Conditional Correlation Models
34 Pages Posted: 28 May 2014
Date Written: May 27, 2014
Abstract
We provide conditions for the existence and the unicity 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. Moreover, we study the existence of their finite moments.
Keywords: Multivariate dynamic models, conditional correlations, stationarity, DCC
JEL Classification: C32, C50
Suggested Citation: Suggested Citation
Fermanian, Jean-David and Malongo, Hassan, On the Stationarity of Dynamic Conditional Correlation Models (May 27, 2014). Available at SSRN: https://ssrn.com/abstract=2442261 or http://dx.doi.org/10.2139/ssrn.2442261
Université de Paris-Dauphine (Ceremade) ( email )
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Paris, 75775
France
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