Carnero, M. Angeles; Leon, Angel; Ñíguez, Trino Manuel - 2022
This paper extends the results in He et al. (2008) and Francq and Zakoian (2010) by obtaining the moments and some cross-moments of the unconditional distribution of the TGARCH(1,1) model under different specifications of the conditional mean. We find analytical expressions for the unconditional...