Show that the kurtosis in an ordinary GARCH(1,1)-model is K=3- 1- (a + B)? 1- 2a2

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Show that the kurtosis in an ordinary GARCH(1,1)-model is

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A First Course in Quantitative Finance

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Authors: Thomas Mazzoni

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Question Posted: Feb 19, 2020 09:39 AM

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Show that the kurtosis in an ordinary GARCH(1,1)-model is K=3- 1- (a + B)? 1- 2a2

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K=3- 1- (a + B)? 1- 2a2 – (a + B)?

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The kurtosis is defined as the fourth standardized moment of a distribution which can be expressed a...View the full answer

A First Course in Quantitative Finance

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