Moments and the Autocorrelation Structure of the Exponential GARCH(p,q) Process
AbstractIn 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.
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Bibliographic InfoPaper provided by Stockholm School of Economics in its series Working Paper Series in Economics and Finance with number 359.
Length: 40 pages
Date of creation: 04 Feb 2000
Date of revision:
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autocorrelation function of squared observations; conditional variance model; GARCH; time series; volatility;
Find related papers by JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
This paper has been announced in the following NEP Reports:
- NEP-ALL-2000-02-14 (All new papers)
- NEP-ECM-2000-02-14 (Econometrics)
- NEP-ETS-2000-02-14 (Econometric Time Series)
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