Research on common persistence of BEKK model
LI Han dong, ZHANG Shi ying (School of Management, Tianjin University, Tianjin 300072, China)
In this paper, we firstly introduce the conception of persistence in variance and then show that the BEKK model suggested by Engle and Kroner (1995) yields general the GARCH process. The integration and persistence of the BEKK model are discussed and the sufficient and necessary condition of co persistence in variance of the BEKK model is suggested. A parsimonious form of the BEKK models is given at the end of the paper.