Purpose – Financial returns are often modeled as stationary time series with innovations having heteroscedastic conditional variances. This paper seeks to derive the kurtosis of stationary processes with GARCH errors. The problem of hypothesis testing for stationary ARMA(p, q) processes with...

Purpose – Financial returns are often modeled as stationary time series with innovations having heteroscedastic conditional variances. This paper seeks to derive the kurtosis of stationary processes with GARCH errors. The problem of hypothesis testing for stationary ARMA( p , q ) processes...