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.