Moments of the ARMA-EGARCH Model

Menelaos Karanasos () and J. Kim

Discussion Papers from Department of Economics, University of York

Abstract: This paper considers the moment structure of the ARMA(r,s)-EGARCH(p,q) model. In particular, we provide the autocorrelation function and any arbitrary moment of the conditional variance/squared errors. In addition, we derive the cross correlations between the process and the conditional variance/squared errors. We also explain our general results using the MA(1)-EGARCH(3,3)\ and the MA(1)-EGARCH(1,4) models as examples. Finally, the practical implications of the results are illustrated empirically using daily data on four East Asia Stock Indices.

Keywords: Autocorrelations; Exponential GARCH; Stock Returns. (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
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Related works:
Journal Article: Moments of the ARMA--EGARCH model (2003)
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Persistent link: https://EconPapers.repec.org/RePEc:yor:yorken:00/29

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