Stable-GARCH models for financial returns : fast estimation and tests for stability

Marc S. Paolella

A fast method for estimating the parameters of a stable-APARCH not requiring likelihood or iteration is proposed. Several powerful tests for the (asymmetric) stable Paretian distribution with tail index 1 < α < 2 are used for assessing the appropriateness of the stable assumption as the innovations process in stable-GARCH-type models for daily stock returns. Overall, there is strong evidence against the stable as the correct innovations assumption for all stocks and time periods, though for many stocks and windows of data, the stable hypothesis is not rejected.

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Year of publication:	June 2016
Authors:	Paolella, Marc S.
Published in:	Econometrics : open access journal. - Basel : MDPI, ISSN 2225-1146, ZDB-ID 2717594-7. - Vol. 4.2016, 2, p. 1-28
Subject:	APARCH \| asymmetric stable Paretian \| Hill-type tail estimators \| sum-stability \| Schätzung \| Estimation \| Schätztheorie \| Estimation theory \| Statistische Verteilung \| Statistical distribution \| Kapitaleinkommen \| Capital income \| ARCH-Modell \| ARCH model

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Type of publication:	Article
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Other identifiers:	10.3390/econometrics4020025 [DOI] hdl:10419/171876 [Handle]
Classification:	C12 - Hypothesis Testing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10011506322