This paper establishes a number of new results on kurtosis of stationary processes as they play important roles in modelling and applications in ﬁnancial time series. Some examples from ARCH and GARCH models are added to illustrate the usefulness and applicability of these newresults.
JELClassiﬁcation Numbers: C18, C49, C58, C59.
AMS Subject Classiﬁcation: Primary 62M10; Secondary 60G10, 91B84.
Keywords: Time series, Autoregression, Serial Correlation, Kurtosis,Moments, ARCH, GARCH, Stationarity, ARMA, Volatility, Heteroscedasticity.