英文标题：
《Analytic Moments for GARCH Processes》
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作者：
Carol Alexander, Emese Lazar, Silvia Stanescu
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最新提交年份：
2018
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英文摘要：
  For a GJR-GARCH specification with a generic innovation distribution we derive analytic expressions for the first four conditional moments of the forward and aggregated returns and variances. Moment for the most commonly used GARCH models are stated as special cases. We also the limits of these moments as the time horizon increases, establishing regularity conditions for the moments of aggregated returns to converge to normal moments. Our empirical study yields excellent approximate predictive distributions from these analytic moments, thus precluding the need for time-consuming simulations.
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中文摘要：
对于具有一般创新分布的GJR-GARCH规范，我们推导出了前四个条件矩的解析表达式，这些条件矩分别是正向和聚合收益和方差。最常用的GARCH模型的矩被称为特例。随着时间范围的增加，我们还分析了这些矩的极限，为聚合收益矩收敛到正常矩建立了正则性条件。我们的实证研究从这些解析矩中得出了很好的近似预测分布，因此无需进行耗时的模拟。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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