Necessary and Sufficient Moment Conditions for the GARCH(r,s) and Asymmetric Power GARCH(r,s) Models
AbstractAlthough 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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Bibliographic InfoPaper provided by Institute of Social and Economic Research, Osaka University in its series ISER Discussion Paper with number 0534.
Date of creation: Apr 2001
Date of revision:
Other versions of this item:
- Ling, Shiqing & McAleer, Michael, 2002. "NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS," Econometric Theory, Cambridge University Press, vol. 18(03), pages 722-729, June.
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- Karanasos, Menelaos, 1999. "The second moment and the autocovariance function of the squared errors of the GARCH model," Journal of Econometrics, Elsevier, vol. 90(1), pages 63-76, May.
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EERI Research Paper Series
EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
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