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

被引：59

作者：

He, CL ^{[1
]}

Teräsvirta, T ^{[1
]}

机构：

[1] Stockholm Sch Econ, Dept Econ Stat, S-11383 Stockholm, Sweden

来源：

ECONOMETRIC THEORY | 1999年 / 15卷 / 06期

关键词：

D O I：

10.1017/S0266466699156032

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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.

引用

页码：824 / 846

页数：23

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