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GARCH models with leverage effect : differences and similarities

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dc.affiliation.dptoUC3M. Departamento de Estadísticaes
dc.contributor.authorRodríguez, Mª José
dc.contributor.authorRuiz Ortega, Esther
dc.contributor.editorUniversidad Carlos III de Madrid. Departamento de Estadística
dc.date.accessioned2009-01-21T09:16:28Z
dc.date.accessioned2009-02-02T16:49:50Z
dc.date.available2009-01-21T09:16:28Z
dc.date.available2009-02-02T16:49:50Z
dc.date.issued2009-01
dc.description.abstractIn this paper, we compare the statistical properties of some of the most popular GARCH models with leverage e?ect when their parameters satisfy the positivity, stationarity and nite fourth order moment restrictions. We show that the EGARCH speci cation is the most exible while the GJR model may have important limitations when restricted to have nite kurtosis. On the other hand, we show empirically that the conditional standard deviations estimated by the TGARCH and EGARCH models are almost identical and very similar to those estimated by the APARCH model. However, the estimates of the QGARCH and GJR models di?er among them and with respect to the other three speci cations.
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dc.format.mimetypeapplication/pdf
dc.identifier.repecws090302
dc.identifier.urihttps://hdl.handle.net/10016/3474
dc.language.isoeng
dc.relation.ispartofseriesUC3M Working papers. Statistics and Econometrics
dc.relation.ispartofseries09-02
dc.rightsAtribución-NoComercial-SinDerivadas 3.0 España
dc.rights.accessRightsopen access
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.ecienciaEstadística
dc.subject.jelC22
dc.subject.otherEGARCH
dc.subject.otherGJR
dc.subject.otherQGARCH
dc.subject.otherTGARCH
dc.subject.otherAPARCH
dc.titleGARCH models with leverage effect : differences and similarities
dc.typeworking paper*
dspace.entity.typePublication
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