Fourth Moment Structure of the GARCH (p, q) Process

Changli He () and Timo Teräsvirta
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Changli He: Department of Economic Statistics, Postal: Stockholm School of Economics, P.O. Box 6501, 113 83 Stockholm, Sweden

No 168, SSE/EFI Working Paper Series in Economics and Finance from Stockholm School of Economics

Abstract: In this paper, a necessary and sufficient condition for the existence of the unconditional fourth moment of the GARCH (p, q) process is given as well as an expression for the moment itself. Furthermore, the autocorrelation function of the centred and squared observations of this process is derivedl The statistical theory is further illustrated by a few special cases such as the GARCH (2,2) process and the ARCH (q) process.

Keywords: Autoregressive conditional heteroskedasticity; conditional variance; fattailed error distribution; time series; volatility (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Pages: 36 pages
Date: 1997-04
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Citations: View citations in EconPapers (2)

Published in Econometric Theory, 1999, pages 824-846.

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Journal Article: FOURTH MOMENT STRUCTURE OF THE GARCH(p,q) PROCESS (1999)
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Persistent link: https://EconPapers.repec.org/RePEc:hhs:hastef:0168

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