Nonstationary Generalised Autoregressive Conditional Heteroskedasticity Modelling for Fitting Higher Order Moments of Financial Series within Moving Time Windows

Figure 1

The behaviour of the logarithm of the sixth-order moment for six-month long intervals from 2000 to 2018, complete with the error intervals, shown by the solid red lines for each security, for details see A. During the crisis period, 2007–2009, we see a spike in the value of the raw moment for all securities apart from gold. Before and after the financial crisis we see small fluctuations in the value of the sixth-order moment over time. (a) Lloyds Bank, (b) Barclays Bank, (c) Gold, and (d) the Bank of America.

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