The Formula of Unconditional Kurtosis of Sign-Switching GARCH(p,q,1) Processes

Joanna Górka

Dynamic Econometric Models, 2012, vol. 12, 105-110

Abstract: In the paper we argue that a general formula for the unconditional kurtosis of sign-switching GARCH(p,q,k) processes proposed by Thavaneswaran and Appadoo (2006) does not give correct results. To show that we revised the original theorem given by Thavaneswaran and Appadoo (2006) for the special case of the GARCH(p,q,k) process, i.e. GARCH(p,q,1). We show that the formula for the unconditional kurtosis basing on the original theorem and the revised version is different.

Keywords: Kurtosis; sign-switching GARCH models. (search for similar items in EconPapers)
Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.dem.umk.pl/dem/archiwa/v12/07_Gorka.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cpn:umkdem:v:12:y:2012:p:105-110

Access Statistics for this article

Dynamic Econometric Models is currently edited by Mariola Pilatowska

More articles in Dynamic Econometric Models from Uniwersytet Mikolaja Kopernika
Bibliographic data for series maintained by Miroslawa Buczynska ().