S-WoPEc
 
Scandinavian Working Papers in Economics
HomeAboutSeriesSubject/JEL codesAdvanced Search
The Economic Research Institute, Stockholm School of Economics SSE/EFI Working Paper Series in Economics and Finance

No 168:
Fourth Moment Structure of the GARCH (p, q) Process

Changli He () 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

Download Statistics


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



Questions (including download problems) about the papers in this series should be directed to Helena Lundin ()
Report other problems with accessing this service to Sune Karlsson () or Helena Lundin ().

Programing by
Design by Joachim Ekebom

Handle: RePEc:hhs:hastef:0168 This page was generated on 2014-12-14 19:22:52