Template-Type: ReDIF-Paper 1.0 Series: Tinbergen Institute Discussion Papers Creation-Date: 2012-06-22 Number: 12-059/4 Author-Name: Francisco Blasques Author-Workplace-Name: VU University Amsterdam Author-Name: Siem Jan Koopman Author-Workplace-Name: VU University Amsterdam Author-Name: Andre Lucas Author-Workplace-Name: VU University Amsterdam Title: Stationarity and Ergodicity of Univariate Generalized Autoregressive Score Processes Abstract: This discussion paper led to a publication in the Electronic Journal of Statistics, 2014, 8, 1088-1112.

We characterize the dynamic properties of Generalized Autoregressive Score (GAS) processes by identifying regions of the parameter space that imply stationarity and ergodicity. We show how these regions are affected by the choice of parameterization and scaling, which are key features of GAS models compared to other observation driven models. The Dudley entropy integral is used to ensure the non-degeneracy of such regions. Furthermore, we show how to obtain bounds for these regions in models for time-varying means, variances, or higher-order moments. Classification-JEL: C13, C22, C58 Keywords: Dudley integral, Durations, Higher-order models, Nonlinear dynamics, Time-varying parameters, Volatility File-Url: https://papers.tinbergen.nl/12059.pdf File-Format: application/pdf File-Size: 312567 bytes Handle: RePEc:tin:wpaper:20120059