On the existence of higher-order moments of periodic GARCH models

Abdelhakim Aknouche and Mohamed Bentarzi

Statistics & Probability Letters, 2008, vol. 78, issue 18, 3262-3268

Abstract: In this paper we mainly study the existence of higher-order moments of periodic GARCH models (P-GARCH) introduced by [Bollerslev, T., Ghysels, E., 1996. Periodic autoregressive conditional heteroskedasticity. Journal of Business and Economic Statistics 14, 139-152]. We provide an explicit necessary and sufficient condition for the existence of higher-order moments for a general P-GARCHS(p,q) model. Our main result generalizes the necessary and sufficient moment condition recently obtained by [Ling, S., McAleer, M., 2002a. Stationarity and the existence of moments of a family of GARCH processes. Journal of Econometrics 106, 109-117; Ling, S., McAleer, M., 2002b. Necessary and sufficient moment conditions for the GARCH(p,q) and asymmetric power GARCH(p,q) models. Econometric Theory 18, 722-729] for the classical GARCH(p,q) models.

Date: 2008
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