Nonlinear optical susceptibilities in Si/SiO2 parabolic quantum dots are studied, with the primary emphasis devoted to the influence of excitons on the generation of the third harmonic. Analytic expressions for the third harmonic generation are derived by using the compact density matrix approach. Numerical results are presented for Si/SiO2 parabolic quantum dots. The results show that the third harmonic generation for this system is over two times larger than that obtained without considering exciton effects. Furthermore, the generation of the third harmonic is related to the relaxation time.