EGARCH models with fat tails, skewness and leverage

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.

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Year of publication:	2012-08-17
Authors:	Harvey, A. ; Sucarrat, G.
Institutions:	Faculty of Economics, University of Cambridge
Subject:	General error distribution \| heteroskedasticity \| leverage \| score \| Student?s t \| two components

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Series:	Cambridge Working Papers in Economics.
Type of publication:	Book / Working Paper
Classification:	C22 - Time-Series Models ; G17 - Financial Forecasting
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010699818