Analytic moments for GJR-GARCH (1, 1) processes
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DOI: 10.1016/j.ijforecast.2020.03.005
Abstract: Abstract For a GJR-GARCH(1, 1) specification with a generic innovation distribution we derive analytic expressions for the first four conditional moments of the forward and aggregated returns and variances. Moments for the most commonly used… read more here.
Keywords: gjr garch; moments gjr; garch processes; analytic moments ... See more keywords