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The Formula of Unconditional Kurtosis of Sign-Switching GARCH(p,q,1) Processes

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  • Joanna Górka

    (Nicolaus Copernicus University in Torun)

Abstract

In the paper we argue that a general formula for the unconditional kurtosis of sign-switching GARCH(p,q,k) processes proposed by Thavaneswaran and Appadoo (2006) does not give correct results. To show that we revised the original theorem given by Thavaneswaran and Appadoo (2006) for the special case of the GARCH(p,q,k) process, i.e. GARCH(p,q,1). We show that the formula for the unconditional kurtosis basing on the original theorem and the revised version is different.

Suggested Citation

  • Joanna Górka, 2012. "The Formula of Unconditional Kurtosis of Sign-Switching GARCH(p,q,1) Processes," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 12, pages 105-110.
    • Handle: RePEc:cpn:umkdem:v:12:y:2012:p:105-110
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    References listed on IDEAS

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    1. Fornari, Fabio & Mele, Antonio, 1997. "Sign- and Volatility-Switching ARCH Models: Theory and Applications to International Stock Markets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 12(1), pages 49-65, Jan.-Feb..
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