Fang, Wen-shwo; Miller, Stephen M.; Lee, ChunShen - 2008
Moderation. That is, leptokurtosis disappears after GARCH adjustment
once we incorporate the break in the variance equation …, GARCH
models
10 pages
1. Introduction
In a recent study, assuming that the underlying generating mechanism governing … heteroskedasticity
(AR-GARCH) model, either under symmetric or asymmetric specifications.
We specify the AR-GARCH(1,1) model as follows …