Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/92801 
Year of Publication: 
2001
Series/Report no.: 
ISER Discussion Paper No. 534
Publisher: 
Osaka University, Institute of Social and Economic Research (ISER), Osaka
Abstract: 
Although econometricians have been using Bollerslev's (1986) 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 higherorder moments of the GARCH (r, s) model was given by Ling (1999a). 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) asymmetric power GARCH (r, s) model.
Document Type: 
Working Paper

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