Scandinavian Working Papers in Economics

SSE/EFI Working Paper Series in Economics and Finance,
Stockholm School of Economics

No 359: Moments and the Autocorrelation Structure of the Exponential GARCH(p,q) Process

Changli He ()
Additional contact information
Changli He: Dept. of Economic Statistics, Stockholm School of Economics, Postal: Stockholm School of Economics, P.O. Box 6501, S-113 83 Stockholm, Sweden

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

JEL-codes: C22

40 pages, February 4, 2000

Full text files 

hastef0359.pdf.zip PDF-file Full text
hastef0359.pdf PDF-file Full text
hastef0359.ps.zip PostScript file Full text
hastef0359.ps PostScript file Full text

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 ().

RePEc:hhs:hastef:0359This page generated on 2024-09-13 22:15:05.