NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS
Although econometricians have been using Bollerslev s (1986, Journal of Econometrics 31, 307 327) 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 higher order moments of the GARCH(r, s) model was given by Ling (1999a, Journal of Applied Probability 36, 688 705). 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, Journal of Empirical Finance, 1, 83 106) asymmetric power GARCH(r, s) model.
Volume (Year): 18 (2002)
Issue (Month): 03 (June)
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- Tim Bollerslev, 1986.
"Generalized autoregressive conditional heteroskedasticity,"
EERI Research Paper Series
EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
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- W. K. Li & Shiqing Ling & Michael McAleer, 2001. "A Survey of Recent Theoretical Results for Time Series Models with GARCH Errors," ISER Discussion Paper 0545, Institute of Social and Economic Research, Osaka University.
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