Abstract
In this paper we mainly study the existence of higher-order moments of periodic GARCH models ( P - GARCH) introduced by [Bollerslev, T., Ghysels, E., 1996. Periodic autoregressive conditional heteroskedasticity. Journal of Business and Economic Statistics 14, 139–152]. We provide an explicit necessary and sufficient condition for the existence of higher-order moments for a general P - G A R C H S ( p , q ) model. Our main result generalizes the necessary and sufficient moment condition recently obtained by [Ling, S., McAleer, M., 2002a. Stationarity and the existence of moments of a family of GARCH processes. Journal of Econometrics 106, 109–117; Ling, S., McAleer, M., 2002b. Necessary and sufficient moment conditions for the G A R C H ( p , q ) and asymmetric power G A R C H ( p , q ) models. Econometric Theory 18, 722–729] for the classical G A R C H ( p , q ) models.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
