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Moments of the ARMA-EGARCH Model

  • Menelaos Karanasos
  • J. Kim

This paper considers the moment structure of the ARMA(r,s)-EGARCH(p,q) model. In particular, we provide the autocorrelation function and any arbitrary moment of the conditional variance/squared errors. In addition, we derive the cross correlations between the process and the conditional variance/squared errors. We also explain our general results using the MA(1)-EGARCH(3,3)\ and the MA(1)-EGARCH(1,4) models as examples. Finally, the practical implications of the results are illustrated empirically using daily data on four East Asia Stock Indices.

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Paper provided by Department of Economics, University of York in its series Discussion Papers with number 00/29.

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Handle: RePEc:yor:yorken:00/29
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