For a GJR-GARCH specification with a generic innovation distribution we derive analytic expressions for the first four conditional moments of the forward and aggregated returns and variances. Moment for the most commonly used GARCH models are stated as special cases. We also the limits of these moments as the time horizon increases, establishing regularity conditions for the moments of aggregated returns to converge to normal moments. Our empirical study yields excellent approximate predictive distributions from these analytic moments, thus precluding the need for time-consuming simulations.
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