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NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS

Published online by Cambridge University Press:  15 May 2002

Shiqing Ling  and
Michael McAleer
Shiqing Ling
Affiliation:
Hong Kong University of Science and Technology
Michael McAleer
Affiliation:
University of Western Australia
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Abstract

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.

Type
Research Article
Information
Econometric Theory , Volume 18 , Issue 3 , June 2002 , pp. 722 - 729
Copyright
© 2002 Cambridge University Press

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