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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

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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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