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Fourth Moment Structure of the Garch (p,q) Process
Högskolan Dalarna, Akademin Industri och samhälle, Statistik.
1999 (engelsk)Inngår i: Econometric Theory, Vol. 15, nr 6Artikkel i tidsskrift (Fagfellevurdert) Published
Abstract [en]

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 theGARCH(2,2)process and the ARCH(q) process.

sted, utgiver, år, opplag, sider
the United States of America: Cambridge University Press , 1999. Vol. 15, nr 6
Emneord [en]
GARCH PROCESS; fourth moment; autocorrelation function
Identifikatorer
URN: urn:nbn:se:du-6094OAI: oai:dalea.du.se:6094DiVA, id: diva2:520498
Tilgjengelig fra: 2011-11-25 Laget: 2011-11-25 Sist oppdatert: 2012-04-24bibliografisk kontrollert

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