Ural, Mert; Demireli, Erhan - In: Financial Studies 22 (2018) 1 (79), pp. 20-31
Empirical studies have shown that a large number of financial asset returns exhibit fat tails (leptokurtosis) and are often characterized by volatility clustering and asymmetry. This paper considers the ability of the asymmetric GARCH-type models (TGARCH, EGARCH, APGARCH) to capture the stylized...