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).
Define the function to extract moment finiteness conditions.
Visualize the parameter conditions for moments to exist.
Values of the first few even moments for a weakly stationary GARCHProcess.
Compare to the values of the even moments for a non-weakly stationary GARCH with process initial values set to zero.