2002b), “Necessary and Sufficient Moment Conditions for the GARCH(r,s) and Asymmetric Power GARCH(r,s) Models”, Econometric Theory

Although econometricians have been using Bollerslev’s (1986) GARCH (r, s) model for over a decade, the higher-order moment structure of the model remains unresolved. The sufficient condition for the existence of the higher-order moments of the GARCH (r, s) model was given by Ling (1999a). This paper shows that Ling’s condition is also necessary. As an extension, the necessary and sufficient moment conditions are established for Ding, Granger and Engle’s (1993) asymmetric power GARCH (r, s) model. ∗The authors wish to acknowledge the helpful comments of the Co-Editor, Bruce Hansen, an