He, Changli; Teräsvirta, Timo; Malmsten, Hans - Economics Institute for Research (SIR), … - 1999
In this paper we consider the fourth moment structure of a class of first-order Exponential GARCH models. This class … contains as special cases both the standard Exponential GARCH model and the symmetric and asymmetric Logarithmic GARCH one … those of the standard first-order GARCH process. In particular, it is seen that, contrary to the standard GARCH case, the …