The second moment and the autocovariance function of the squared errors of the GARCH model

DOI10.1016/S0304-4076(98)00032-3zbMath1070.62528MaRDI QIDQ1305661

Menelaos Karanasos

Publication date: 1999

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

GARCH modelFourth momentAutocovarianceN-component

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (12)

STATIONARITY AND MEMORY OF ARCH([infty infinity) MODELS] ⋮ Time Dependence and Moments of a Family of Time‐Varying Parameter Garch in Mean Models ⋮ Stability of random coefficient ARCH models and aggregation schemes ⋮ AN EXTENDED CONSTANT CONDITIONAL CORRELATION GARCH MODEL AND ITS FOURTH-MOMENT STRUCTURE ⋮ SIMULTANEOUSLY MODELING CONDITIONAL HETEROSKEDASTICITY AND SCALE CHANGE ⋮ NEGATIVE VOLATILITY SPILLOVERS IN THE UNRESTRICTED ECCC-GARCH MODEL ⋮ ARCH-type bilinear models with double long memory. ⋮ Moments and dynamic structure of a time‐varying parameter stochastic volatility in mean model ⋮ Root-\(T\) consistent density estimation in GARCH models ⋮ Moments of the ARMA–EGARCH model ⋮ Stability conditions for heteroscedastic factor models with conditionally autoregressive betas ⋮ Stationarity and the existence of moments of a family of GARCH processes.

Cites Work

• Unnamed Item
• Generalized autoregressive conditional heteroscedasticity
• Modeling volatility persistence of speculative returns: a new approach
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

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