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The Economic Research Institute, Stockholm School of Economics SSE/EFI Working Paper Series in Economics and Finance

No 198:
Properties of Moments of a Family of GARCH Processes

Changli He () and Timo Teräsvirta ()

Abstract: This paper considers the moments of a family of first-order GARCH processes. First, a general condition of the existence of any integer moment of the absolute values of the observations is given. Second, a general expression for this moment as a function of lower-order moments is derived. Third, the kurtosis and the autocorrelation function of the squared and absolute-valued observations are derived. The results apply to a host of different GARCH parameterizations. Finally, the existence, or the lack thereof, of a theoretical counterpart to the so-called Taylor effect for some members of this GARCH family is discussed. Possibilities of extending some of the results to higher-order GARCH processes are indicated and potential applications of the statistical theory proposed.

Keywords: Conditional variance; heteroskedasticity; second-order dependence; stochastic volatility; time series; (follow links to similar papers)

JEL-Codes: C22; (follow links to similar papers)

35 pages, September 26, 1997

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This paper is published as:
He, Changli and Timo Teräsvirta, (1999), 'Properties of Moments of a Family of GARCH Processes', Journal of Econometrics, Vol. 92, pages 173-192

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