Moments Of The ARMA–EGARCH Model  

Oleh:

Karanasos, M. ; Kim, J.

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Econometrics Journal vol. 6 no. 1 (Jun. 2003), page 146-166.
Topik: Autocorrelations; Exponential GARCH; Stock returns.
Fulltext: 146.pdf (153.7KB)

Isi artikel

This paper considers the moment structure of the general ARMA–EGARCH model. In particular, we derive the autocorrelation function of any positive integer power of the squared errors. In addition, we obtain the autocorrelations of the squares of the observed process and cross correlations between the levels and the squares of the observed process. Finally, the practical implications of the results are illustrated empirically using daily data on four East Asia Stock Indices.

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