FOURTH MOMENT STRUCTURE OF THE GARCH(p,q) PROCESS

B-Tier
Journal: Econometric Theory
Year: 1999
Volume: 15
Issue: 6
Pages: 824-846

Authors (2)

He, Changli (not in RePEc) Teräsvirta, Timo (Aarhus Universitet)

Score contribution per author:

1.005 = (α=2.01 / 2 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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.

Technical Details

RePEc Handle
repec:cup:etheor:v:15:y:1999:i:06:p:824-846_15
Journal Field
Econometrics
Author Count
2
Added to Database
2026-01-29