Properties of Moments of a Family of GARCH Processes

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

No 198, SSE/EFI Working Paper Series in Economics and Finance from Stockholm School of Economics

Abstract: This paper considers the moments of a family of first-order GARCH processes. First, a general condition of the existence of any integer moment of the absolute values of the observations is given. Second, a general expression for this moment as a function of lower-order moments is derived. Third, the kurtosis and the autocorrelation function of the squared and absolute-valued observations are derived. The results apply to a host of different GARCH parameterizations. Finally, the existence, or the lack thereof, of a theoretical counterpart to the so-called Taylor effect for some members of this GARCH family is discussed. Possibilities of extending some of the results to higher-order GARCH processes are indicated and potential applications of the statistical theory proposed.

Keywords: Conditional variance; heteroskedasticity; second-order dependence; stochastic volatility; time series (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Pages: 35 pages
Date: 1997-09-26
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Published in Journal of Econometrics, 1999, pages 173-192.

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Journal Article: Properties of moments of a family of GARCH processes (1999)
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Persistent link: https://EconPapers.repec.org/RePEc:hhs:hastef:0198

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