Kurtosis of GARCH and stochastic volatility models with non-normal innovations

Both volatility clustering and conditional non-normality can induce the leptokurtosis typically observed in-financial data. In this paper, the exact representation of kurtosis is derived for both GARCH and stochastic volatility models when innovations may be conditionally non-normal. We find that, for both models, the volatility clustering and non-normality contribute interactively and symmetrically to the overall kurtosis of the series. (C) 2003 Elsevier Science B.V. All rights reserved.