Revisiting the Kurtosis of Stationary Processes with Applications to Volatility Models

Shelton Peiris and Tim Swartz

Journal of Statistical and Econometric Methods, 2020, vol. 9, issue 2, 1

Abstract: This paper establishes a number of new results on kurtosis of stationary processes as they play important roles in modelling and applications in ï¬ nancial time series. Some examples from ARCH and GARCH models are added to illustrate the usefulness and applicability of these newresults.JELClassiï¬ cation Numbers: C18, C49, C58, C59.AMS Subject Classiï¬ cation: Primary 62M10; Secondary 60G10, 91B84.Keywords: Time series, Autoregression, Serial Correlation, Kurtosis,Moments, ARCH, GARCH, Stationarity, ARMA, Volatility, Heteroscedasticity.

Date: 2020
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