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On the stationarity of dynamic conditional correlation models

Abstract 

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.

Amundi Working Paper - June  2016

Jean-David FERMANIAN, CREST / ENSAE
Hassan MALONGO ELOUAÏ, Quantitative Research

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On the stationarity of dynamic conditional correlation models
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