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ARMA-EGARCH Model Moments Analysis by Ban-Hong Teh is a document available to read on EtoBox.
This paper analyzes the moment structure of the general ARMA-EGARCH model by deriving: 1) The autocorrelation function of any positive integer power of the squared errors. 2) The cross correlations between the levels and squares of both the observed process and squared errors. 3) The autocorrelations of the squared observations. The derivations provide insights into how the moment structure of ARMA-EGARCH models differs from standard GARCH models, which may help explain the empirical success of EGARCH s
- Author
- Ban-Hong Teh
- Language
- EN