Moments of GARCH(1,1) 

The value of a generalized autoregressive conditionally heteroscedastic process GARCHProcess has a heavy-tailed distribution with only a few finite moments of low order.

Fourth moment of a GARCHProcess with orders (1,1).

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Define the function to extract moment finiteness conditions.

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Visualize the parameter conditions for moments to exist.

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Values of the first few even moments for a weakly stationary GARCHProcess.

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Compare to the values of the even moments for a non-weakly stationary GARCH with process initial values set to zero.

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