SSE/EFI Working Paper Series in Economics and Finance
Moments and the Autocorrelation Structure of the Exponential GARCH(p,q) Process
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
for viewing Postscript files and the
Acrobat Reader for viewing and printing pdf files.
Full text versions of the paper:
hastef0359.pdf.zip (zipped) (865kB)
hastef0359.ps.zip PKZipped PostScript (1.35MB)
hastef0359.ps PostScript file (5.7MB)
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 ().
Design by Joachim Ekebom