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EGARCH Models with Fat Tails, Skewness and Leverage. Cambridge Working paper
- in Economics, CWPE
, 2012
"... 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 distribu-tion of the maximum likelihood estimator, are obtained. Evidence for skewness in conditional t-dist ..."
Abstract
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Cited by 7 (3 self)
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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 distribu-tion 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 correspond-ing skewed-t GARCH model.