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EGARCH Models with Fat Tails, Skewness and Leverage. Cambridge Working paper (2012)
by
Andrew Harvey
,
Genaro Sucarrat
| Venue: | in Economics, CWPE |
| Citations: | 7 - 3 self |
BibTeX
@INPROCEEDINGS{Harvey12egarchmodels,
author = {Andrew Harvey and Genaro Sucarrat},
title = {EGARCH Models with Fat Tails, Skewness and Leverage. Cambridge Working paper},
booktitle = {in Economics, CWPE},
year = {2012},
pages = {1236}
}
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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 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.
