Hostname: page-component-78c5997874-8bhkd Total loading time: 0 Render date: 2024-11-04T18:31:51.774Z Has data issue: false hasContentIssue false
  • English
  • Français

MOMENT STRUCTURE OF A FAMILY OF FIRST-ORDER EXPONENTIAL GARCH MODELS

Published online by Cambridge University Press:  17 May 2002

Changli He ,
Timo Teräsvirta  and
Hans Malmsten
Changli He
Affiliation:
Stockholm School of Economics
Timo Teräsvirta
Affiliation:
Stockholm School of Economics
Hans Malmsten
Affiliation:
Stockholm School of Economics
Get access Rights & Permissions [Opens in a new window]

Abstract

In this paper we consider the moment structure of a class of first-order exponential generalized autoregressive conditional heteroskedasticity (GARCH) models. This class contains as special cases both the standard exponential GARCH model and the symmetric and asymmetric logarithmic GARCH model. Conditions for the existence of any arbitrary moment are given. Furthermore, the expressions for the kurtosis and the autocorrelations of positive powers of absolute-valued observations are derived. The properties of the autocorrelation structure are discussed and compared to those of the standard first-order GARCH process. In particular, it is seen that, contrary to the standard GARCH case, the decay rate of the autocorrelations of squared errors is not constant and that the rate can be quite rapid in the beginning, depending on the parameters of the model.

Type
Research Article
Information
Econometric Theory , Volume 18 , Issue 4 , August 2002 , pp. 868 - 885
Copyright
© 2002 Cambridge University Press

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)