Stationarity, Mixing, Distributional Properties and Moments of GARCH(p, q)–Processes

  • Alexander M. LindnerEmail author


This paper collects some of the well known probabilistic properties of GARCH (p, q) processes. In particular, we address the question of strictly and of weakly stationary solutions. We further investigate moment conditions as well as the strong mixing property of GARCH processes. Some distributional properties such as the tail behaviour and continuity properties of the stationary distribution are also included.


Stationary Solution Spectral Radius Probabilistic Property Financial Time Series Noise Sequence 
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Copyright information

© Springer-Verlag Berlin Heidelberg 2009

Authors and Affiliations

  1. 1.Technische Universität BraunschweigInstitut für Mathematische StochastikPockelsstrasseBraunschweig

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