This paper considers the moment structure of the ARMA(r,s)-EGARCH(p,q) model. In particular, we provide the autocorrelation function and any arbitrary moment of the conditional variance/squared errors. In addition, we derive the cross correlations between the process and the conditional...

The purpose of this paper is to examine the variance-covariance structure of GARCH models that have been introduced in the literature the last decade, and have been greatly favoured by time series analysts and econometricians. In particular, we analyze the second moments of the sum of GARCH...

We examine the relationship between inflation and inflation uncertainty using a GARCH model that allows for simultaneous feedback between the conditional mean and variance of inflation. We also derive a number of theoretical econometric results and illustrate the relevance of these results with...