Publication: GARCH models with leverage effect : differences and similarities
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2009-01
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Abstract
In 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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EGARCH, GJR, QGARCH, TGARCH, APARCH