The Formula of Unconditional Kurtosis of Sign-Switching GARCH(p,q,1) Processes
Journal Title: Dynamic Econometric Models - Year 2012, Vol 12, Issue 1
Abstract
In the paper we argue that a general formula for the unconditional kurtosis of sign-switching GARCH(p,q,k) processes proposed by Thavaneswaran and Appadoo (2006) does not give correct results. To show that we revised the original theorem given by Thavaneswaran and Appadoo (2006) for the special case of the GARCH(p,q,k) process, i.e. GARCH(p,q,1). We show that the formula for the unconditional kurtosis basing on the original theorem and the revised version is different.
Authors and Affiliations
Joanna Górka
Keywords
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