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Analytic Moments for GARCH Processes
Alexander, Carol; Lazar, Emese; Stanescu, Silvia - Henley Business School, University of Reading - 2010
Conditional returns distributions generated by a GARCH process, which are important for many problems in market risk … moments of GARCH returns distributions in several ways: we consider a general GARCH model – the GJR specification with a … specific GARCH models largely used in practice are recovered as special cases; we derive the limits of these moments as the …
Persistent link: https://www.econbiz.de/10010838036
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Augoregressive Conditional Kurtosis
Brooks, Chris; Burke, Simon P.; Persand, Gita - Henley Business School, University of Reading - 2002
This paper proposes a new model for autoregressive conditional heteroscedasticity and kurtosis. Via a time-varying degrees of freedom parameter, the conditional variance and conditional kurtosis are permitted to evolve separately. The model uses only the standard Student’s t density and...
Persistent link: https://www.econbiz.de/10005558309