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Necessary and Sufficient Moment Conditions for the GARCH(r,s) and Asymmetric Power GARCH(r,s) Models

Authors Ling, SQ View this author's profile
McAleer, M.
Issue Date 2002
Source Econometric theory , v. 18, (3), 2002, JUN, p. 722-729
Summary Although econometricians have been using Bollerslev's (1986, Journal of Econometrics 31, 307-327) 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 higher order moments of the GARCH(r,s) model was given by Ling (1999a, Journal of Applied Probability 36, 688-705). 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, Journal of Empirical Finance, 1, 83-106) asymmetric power GARCH(r,s) model.
ISSN 0266-4666
Rights © Cambridge University Press (2002). This paper was published in Econometric Theory and is reprinted with permission.
Language English
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