Arbeitspapier
Necessary and sufficient moment conditions for the GARCH(r,s) and asymmetric power GARCH(r,s) models
Although econometricians have been using Bollerslev's (1986) GARCH (r, s) model for over a decade, the higher-order moment structure of the model remains unresolved. The sufficient condition for the existence of the higherorder moments of the GARCH (r, s) model was given by Ling (1999a). This paper shows that Ling's condition is also necessary. As an extension, the necessary and sufficient moment conditions are established for Ding, Granger and Engle's (1993) asymmetric power GARCH (r, s) model.
- Language
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Englisch
- Bibliographic citation
-
Series: ISER Discussion Paper ; No. 534
- Classification
-
Wirtschaft
- Event
-
Geistige Schöpfung
- (who)
-
Ling, Shiqing
MacAleer, Michael
- Event
-
Veröffentlichung
- (who)
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Osaka University, Institute of Social and Economic Research (ISER)
- (where)
-
Osaka
- (when)
-
2001
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
This object is provided by:
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Ling, Shiqing
- MacAleer, Michael
- Osaka University, Institute of Social and Economic Research (ISER)
Time of origin
- 2001
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