EGARCH models with fat tails, skewness and leverage
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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.
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Keywords
General error distribution, heteroskedasticity, leverage, score, Student's t
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Publisher
Faculty of Economics