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The effect of the quantum properties of light on nonlinear processes has been well studied theoretically. It has been shown that the efficiency of n-photon nonlinear processes in many cases scales as the normalized n-th order correlation function. For light with high intensity correlation function, the efficiency of the n-th harmonic generation will be considerably higher than for coherent light. The experimental observation of this effect remained difficult until recently, because of the absence of bright sources with strong and fast intensity fluctuations. For the experimental demonstration of statistical effects in optical harmonic generation we use as a pump the radiation of high-gain parametric down conversion. Such light shows quantum properties (e.g. quadrature or two-mode squeezing) and has large number of photons in one mode. The normalized n-th order correlation function for this light is (2n - 1)!!, which makes it more attractive for nonlinear processes than both coherent and thermal light. For the generation of optical harmonics we used broadband parametric down conversion around frequency-degeneracy (1600 nm) produced in 1cm BBO crystal from Ti:Sapphire laser (800 nm, 1.6ps, 5kHz, 3W mean intensity). Due to spectral filtering and post-selection technique we could vary the statistics of light from coherent to super-bunched, which allowed us to demonstrate the efficiency enhancement for second-, third-, and fourth-harmonic generation. The obtained experimental results show a good agreement with the theory.