Stationarity and Ergodicity of Univariate Generalized Autoregressive Score Processes

We characterize the dynamic properties of generalized autoregressive score models by identifying the regions of the parameter space that imply stationarity and ergodicity of the corresponding nonlinear time series process. We show how these regions are affected by the choice of parameterization and scaling, which are key features for the class of generalized autoregressive score models compared to other observation driven models. All results are illustrated for the case of time-varying means, variances, or higher-order moments.