Brooks, Chris; Burke, Simon P.; Persand, Gita - Henley Business School, University of Reading - 2002
-varying degrees of freedom parameter, the conditional variance and conditional kurtosis are permitted to evolve separately. The model … in favour of the presence of autoregressive conditional kurtosis is observed. Various extensions to the basic model are … examined, and show that conditional kurtosis appears to be positively but not significantly related to returns, and that the …
