Analytic Moments for GARCH Processes

Carol Alexander, Emese Lazar and Silvia Stanescu

Papers from arXiv.org

Abstract: For a GJR-GARCH specification with a generic innovation distribution we derive analytic expressions for the first four conditional moments of the forward and aggregated returns and variances. Moment for the most commonly used GARCH models are stated as special cases. We also the limits of these moments as the time horizon increases, establishing regularity conditions for the moments of aggregated returns to converge to normal moments. Our empirical study yields excellent approximate predictive distributions from these analytic moments, thus precluding the need for time-consuming simulations.

Date: 2018-08, Revised 2018-09
New Economics Papers: this item is included in nep-ecm and nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/1808.09666 Latest version (application/pdf)

Related works:
Working Paper: Analytic Moments for GARCH Processes (2011)
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:arx:papers:1808.09666

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().