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 359:
Moments and the Autocorrelation Structure of the Exponential GARCH(p,q) Process

Changli He ()

Abstract: In this paper the autocorrelation structure of the Exponential GARCH(p,q) process of Nelson (1991) is considered. Conditions for the existence of any arbitrary unconditional moment are given. Furthermore, the expressions for the kurtosis and the autocorrelations of squared observations are derived. The properties of the autocorrelation structure are discussed and compared to those of the standard GARCH(p,q) process. In particular, it is seen that, the EGARCH(p,q) model has a richer autocorrelation structure than the standard GARCH(p,q) one. The statistical theory is further illustrated by a few special cases such as the symmetric and the asymmetric EGARCH(2,2) models under the assumption of normal errors or non-normal errors. The autocorrelations computed from an estimated EGARCH(2,1) model of Nelson (1991) are highlighted.

Keywords: autocorrelation function of squared observations; conditional variance model; GARCH; time series; volatility; (follow links to similar papers)

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

40 pages, February 4, 2000

Before downloading any of the electronic versions below you should read our statement on copyright.
Download GhostScript for viewing Postscript files and the Acrobat Reader for viewing and printing pdf files.

Full text versions of the paper:

hastef0359.pdf.zip    PDF-file (zipped) (865kB) 
hastef0359.pdf    PDF-file (1.7MB) 
hastef0359.ps.zip    PKZipped PostScript (1.35MB) 
hastef0359.ps    PostScript file (5.7MB) 
Download Statistics

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:0359 This page was generated on 2014-12-14 19:22:59