() and Timo Teräsvirta
Changli He: Department of Economic Statistics, Postal: Stockholm School of Economics, P.O. Box 6501, 113 83 Stockholm, Sweden
Timo Teräsvirta: Department of Economic Statistics, Postal: Stockholm School of Economics, Box 6501, 113 83 Stockholm, Sweden
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.
36 pages, April 1997
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