Markets: A Rigorous Course
Sign in Sign up

M13 · Problem 9 ★★★ Check

GARCH fourth moment

(a) Prove Proposition 13.14. (b) Compute the kurtosis for (α,β)=(0.10,0.85)(\alpha,\beta) = (0.10, 0.85). (c) Show that for (α,β)=(0.20,0.78)(\alpha,\beta) = (0.20, 0.78) the process is covariance stationary but has infinite fourth moment. What does this mean for the sample kurtosis you would compute from 20 years of data?

Answers

Commas, ₹, % and 1e-3 notation are accepted.

Working

Keep your working next to each problem, in markdown with maths: create a free account or sign in.

Solution

Try the problem first. Write down where you got stuck before opening it.

Create a free account

Reading is open to everyone. An account keeps your progress, answers, notes and code drafts, and gives you the study plan, the journals and the simulator. Running code needs an account approved for it.

Create a free account Sign in