Repository logo
 

EGARCH models with fat tails, skewness and leverage


Type

Working Paper

Change log

Authors

Harvey, Andrew 
Sucarrat, Genaro 

Abstract

An EGARCH model in which the conditional distribution is heavy-tailed and skewed is proposed. The properties of the model, including unconditional moments, autocorrelations and the asymptotic distribution of the maximum likelihood estimator, are obtained. Evidence for skewness in conditional t-distribution is found for a range of returns series and the model is shown to give a better .t than the corresponding skewed-t GARCH model.

Description

Keywords

General error distribution, heteroskedasticity, leverage, score, Student's t, two components

Is Part Of

Publisher

Faculty of Economics

Publisher DOI