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Moments of the ARMA--EGARCH model

Menelaos Karanasos () and J. Kim

Econometrics Journal, 2003, vol. 6, issue 1, 146-166

Abstract: This paper considers the moment structure of the general ARMA--EGARCH model. In particular, we derive the autocorrelation function of any positive integer power of the squared errors. In addition, we obtain the autocorrelations of the squares of the observed process and cross correlations between the levels and the squares of the observed process. Finally, the practical implications of the results are illustrated empirically using daily data on four East Asia Stock Indices. Copyright Royal Economic Society, 2003

Date: 2003
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Econometrics Journal is currently edited by Richard J. Smith, Oliver Linton, Pierre Perron, Jaap Abbring and Marius Ooms

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