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- Title
Moments of the ARMA–EGARCH model.
- Authors
Karanasos, M.; Kim, J.
- Abstract
Summary. 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.
- Subjects
AUTOCORRELATION (Statistics); STATISTICAL correlation; SQUARE; ERRORS
- Publication
Econometrics Journal, 2003, Vol 6, Issue 1, p146
- ISSN
1368-4221
- Publication type
Article
- DOI
10.1111/1368-423X.00104