Fourth moment structure of the GARCH(p,q) process

Authors
He, CL Terasvirta, T
Citation
Cl. He et T. Terasvirta, Fourth moment structure of the GARCH(p,q) process, ECONOMET TH, 15(6), 1999, pp. 824-846
Citations number
15
Categorie Soggetti
Economics
Journal title
ECONOMETRIC THEORY
ISSN journal
02664666 → ACNP
Volume
15
Issue
6
Year of publication
1999
Pages
824 - 846
Database
ISI
SICI code
0266-4666(199912)15:6<824:FMSOTG>2.0.ZU;2-2
Abstract
In this paper, a necessary and sufficient condition for the existence of th e unconditional fourth moment of the GARCH(p, q) process is given and also an expression For the moment itself. Furthermore, the autocorrelation funct ion of the centered and squared observations of this process is derived. Th e statistical theory is further illustrated by a few special cases such as the GARCH(2,2) process and the ARCH (q) process.