Comparing sample and plug-in moments in asymmetric Garch Models

The adequacy of GARCH models is often analyzed by comparing plug-in and sample kurtosis and autocorrelations of squares. We analyse the finite sample suitability of this comparison and show that it is not appropiate in general.

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Year of publication:	2010-10
Authors:	Rodríguez, Mª José ; Ruiz, Esther
Institutions:	Departamento de Estadistica, Universidad Carlos III de Madrid
Subject:	Autocorrelations of squares \| Cross-correlations \| Heterocedasticity \| Kurtosis \| Leverage effect \| TGARCH

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Extent:	application/pdf
Series:	Statistics and Econometrics Working Papers.
Type of publication:	Book / Working Paper
Classification:	C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010615320