Fourth Moment Structure of the GARCH (p, q) Process

In this paper, a necessary and sufficient condition for the existence of the unconditional fourth moment of the GARCH (p, q) process is given as well as an expression for the moment itself. Furthermore, the autocorrelation function of the centred and squared observations of this process is derivedl The statistical theory is further illustrated by a few special cases such as the GARCH (2,2) process and the ARCH (q) process.

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Year of publication:	1997-04
Authors:	He, Changli ; Teräsvirta, Timo
Institutions:	Economics Institute for Research (SIR), Handelshögskolan i Stockholm
Subject:	Autoregressive conditional heteroskedasticity \| conditional variance \| fattailed error distribution \| time series \| volatility

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Series:	SSE/EFI Working Paper Series in Economics and Finance.
Type of publication:	Book / Working Paper
Notes:	Published in Econometric Theory, 1999, pages 824-846. The text is part of a series Working Paper Series in Economics and Finance Number 168 36 pages
Classification:	C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005771164