EGARCH models with fat tails, skewness and leverage
Faculty of Economics
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Harvey, A., & Sucarrat, G. (2012). EGARCH models with fat tails, skewness and leverage. https://doi.org/10.17863/CAM.1028
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.
General error distribution, heteroskedasticity, leverage, score, Student's t
This record's DOI: https://doi.org/10.17863/CAM.1028
This record's URL: https://www.repository.cam.ac.uk/handle/1810/257100