Fourth moments of multivariate GARCH processes
(2001)
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- Abstract
- This paper derives conditions for the existence of fourth moments of multivariate GARCH processes in the general vector specification and gives explicit results for the fourth moments and autocovariances of the squares and cross-products. Results are provided for the kurtosis and co-kurtosis between components. Applications of the results include the definition of impulse response functions for kurtosis and co-kurtosis, the derivation of the spectral density matrix of the squares and crossproducts, and a measure for causality in volatility. A bivariate exchange rate example illustrates the applications.
- Affiliations
Citations
Hafner, C. (2001). Fourth moments of multivariate GARCH processes (CORE Discussion Papers 2001/46). https://hdl.handle.net/2078.5/76665