the stochastic variance. Our class encompasses the usual GARCH models and various asymmetric GARCH models. Moreover, our … natural extension of the weak GARCH models. Our extension has four advantages: i) we do not assume that the fourth moment is … finite; ii) we allow for asymmetries (skewness, leverage effect) that are excluded by the weak GARCH models; iii) we derive …

, noncontinuous distributions, and very general serial dependence (linear or nonlinear) including GARCH-type and stochastic volatility …