EGARCH models with fat tails, skewness and leverage
Repository URI
Repository DOI
Change log
Authors
Harvey, A.
Sucarrat, G.
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.
two components.
Description
Keywords
General error distribution, heteroskedasticity, leverage, score, Student's t
Is Part Of
Publisher
Faculty of Economics