Arch kurtosis Financial risk forecasting errata

Arch kurtosis

January 28, 2018

Stefano Soccorsi pointed out that the one of the Kurtosis equations on page 37 is wrong. The rest of of it is correct, as is the final Kurtosis value. The typo was in the second equation below:

\begin{align*} E(Y^4) &= 3 E\left(\left(\omega+\alpha Y_{t-1}^2\right)^2\right) \ &= 3 \omega^2+ 6\alpha \omega E(Y^2)+3 \alpha^2 E(Y^4)\ &= 3 \omega^2+ 6\alpha \omega \frac{\omega}{1-\alpha}+3 \alpha^2 E(Y^4)\ \end{align*}

Sequential moments
Tail index in dependent data

Financial Risk Forecasting
Market risk forecasting with R, Julia, Python and Matlab. Code, lecture slides, implementation notes, seminar assignments and questions.
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