AR model Covariance Stationary?

CFA Level II
#1

Guys,

Quick question:

If no autocorrelation, no seasonality, no ARCH, then model --> correctly specified. And if model correctly specified, then covariance stationary.

But lets say that there is EITHER of autocorrelation OR seasonality or ARCH. That means model is not correctly specified. But does that also mean that the covariance is not stationary then?

Thanks in advance

#2

Yes a model with any of the above (auto correlation, seasonality or ARCH) is not covariance stationary.