Advanced Search
MyIDEAS: Login to save this paper or follow this series

Moments and the Autocorrelation Structure of the Exponential GARCH(p,q) Process

Contents:

Author Info

  • He, Changli

    ()
    (Dept. of Economic Statistics, Stockholm School of Economics)

Registered author(s):

    Abstract

    In this paper the autocorrelation structure of the Exponential GARCH(p,q) process of Nelson (1991) is considered. Conditions for the existence of any arbitrary unconditional moment are given. Furthermore, the expressions for the kurtosis and the autocorrelations of squared observations are derived. The properties of the autocorrelation structure are discussed and compared to those of the standard GARCH(p,q) process. In particular, it is seen that, the EGARCH(p,q) model has a richer autocorrelation structure than the standard GARCH(p,q) one. The statistical theory is further illustrated by a few special cases such as the symmetric and the asymmetric EGARCH(2,2) models under the assumption of normal errors or non-normal errors. The autocorrelations computed from an estimated EGARCH(2,1) model of Nelson (1991) are highlighted.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://swopec.hhs.se/hastef/papers/hastef0359.pdf.zip
    Download Restriction: no

    File URL: http://swopec.hhs.se/hastef/papers/hastef0359.pdf
    Download Restriction: no

    File URL: http://swopec.hhs.se/hastef/papers/hastef0359.ps.zip
    Download Restriction: no

    File URL: http://swopec.hhs.se/hastef/papers/hastef0359.ps
    Download Restriction: no

    Bibliographic Info

    Paper provided by Stockholm School of Economics in its series Working Paper Series in Economics and Finance with number 359.

    as in new window
    Length: 40 pages
    Date of creation: 04 Feb 2000
    Date of revision:
    Handle: RePEc:hhs:hastef:0359

    Contact details of provider:
    Postal: The Economic Research Institute, Stockholm School of Economics, P.O. Box 6501, 113 83 Stockholm, Sweden
    Phone: +46-(0)8-736 90 00
    Fax: +46-(0)8-31 01 57
    Email:
    Web page: http://www.hhs.se/
    More information through EDIRC

    Related research

    Keywords: autocorrelation function of squared observations; conditional variance model; GARCH; time series; volatility;

    Find related papers by JEL classification:

    This paper has been announced in the following NEP Reports:

    References

    No references listed on IDEAS
    You can help add them by filling out this form.

    Citations

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:hhs:hastef:0359. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Helena Lundin).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.