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

Author

Listed:
  • He, Changli

    (Department of Economic Statistics)

  • Teräsvirta, Timo

    (Department of Economic Statistics)

Abstract

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.

Suggested Citation

  • He, Changli & Teräsvirta, Timo, 1997. "Fourth Moment Structure of the GARCH (p, q) Process," SSE/EFI Working Paper Series in Economics and Finance 168, Stockholm School of Economics.
    • Handle: RePEc:hhs:hastef:0168
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    Keywords

    Autoregressive conditional heteroskedasticity; conditional variance; fattailed error distribution; time series; volatility;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

    Statistics

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