SSE/EFI Working Paper Series in Economics and Finance
Fourth Moment Structure of the GARCH (p, q) Process
() and Timo Teräsvirta
Abstract: In this paper, a necessary and sufficient condition for
the existence of the unconditional fourth moment of the GARCH (p, q)
process is given as well as an expression for the moment itself.
Furthermore, the autocorrelation function of the centred and squared
observations of this process is derivedl The statistical theory is further
illustrated by a few special cases such as the GARCH (2,2) process and the
ARCH (q) process.
Keywords: Autoregressive conditional heteroskedasticity; conditional variance; fattailed error distribution; time series; volatility; (follow links to similar papers)
JEL-Codes: C22; (follow links to similar papers)
36 pages, April 1997
- This paper is published as:
He, Changli and Timo Teräsvirta, (1999), 'Fourth Moment Structure of the GARCH (p, q) Process', Econometric Theory, Vol. 15, pages 824-846
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