Author:
He Changli,Teräsvirta Timo
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 and
also an expression for the moment itself. Furthermore,
the autocorrelation function of the centered and squared
observations of this process is derived. The statistical
theory is further illustrated by a few special cases such
as the GARCH(2,2) process and the ARCH(q) process.
Publisher
Cambridge University Press (CUP)
Subject
Economics and Econometrics,Social Sciences (miscellaneous)
Cited by
92 articles.
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