Although econometricians have been using Bollerslev's (1986) GARCH (r, s) model for over a decade, the higher-order moment structure of the model remains unresolved. The sufficient condition for the existence of the higherorder moments of the GARCH (r, s) model was given by Ling (1999a). This paper shows that Ling's condition is also necessary. As an extension, the necessary and sufficient moment conditions are established for Ding, Granger and Engle's (1993) asymmetric power GARCH (r, s) model.
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Paper provided by Institute of Social and Economic Research, Osaka University in its series ISER Discussion Paper with number
0534.
References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
Higgins, Matthew L & Bera, Anil K, 1992.
"A Class of Nonlinear ARCH Models,"
International Economic Review,
Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 33(1), pages 137-58, February.
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