Fourth Moment Structure of the GARCH (p, q) Process

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Published in RePEc

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 as well as an expression for the moment itself. Furthermore, the autocorrelation function of the centred and squared observations of this process is derivedl The statistical theory is further illustrated by a few special cases such as the GARCH (2,2) process and the ARCH (q) process.

Keywords

AUTOCORRELATION FUNCTION
SQUARED OBSERVATIONS
UNCONDITIONAL FOURTH
STATISTICAL THEORY
MOMENT STRUCTURE
FOURTH MOMENT
DERIVEDL
GARCH

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