On the Stationarity of Dynamic Conditional Correlation Models
34 Pages Posted: 28 May 2014
Date Written: May 27, 2014
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