FOURTH MOMENT STRUCTURE OF THE GARCH(p,q) PROCESS
给出了GARCH(p,q)过程无条件四阶矩存在的充要条件及其表达式，并推导了中心化平方观测的自相关函数，对金融波动率建模有参考价值。
In this paper, a necessary and sufficient condition for the existence of the unconditional fourth moment of the GARCH( p , q ) process is given and also an expression for the moment itself. Furthermore, the autocorrelation function of the centered and squared observations of this process is derived. The statistical theory is further illustrated by a few special cases such as the GARCH(2,2) process and the ARCH( q ) process.