RT Generic
T1 GARCH models with leverage effect : differences and similarities
A1 Rodríguez, Mª José
A1 Ruiz Ortega, Esther
A2 Universidad Carlos III de Madrid. Departamento de Estadística, 
AB In this paper, we compare the statistical properties of some of the most popular GARCHmodels with leverage e?ect when their parameters satisfy the positivity, stationarity and  nitefourth order moment restrictions. We show that the EGARCH speci cation is the most  exiblewhile the GJR model may have important limitations when restricted to have  nite kurtosis. Onthe other hand, we show empirically that the conditional standard deviations estimated by theTGARCH and EGARCH models are almost identical and very similar to those estimated by theAPARCH model. However, the estimates of the QGARCH and GJR models di?er among themand with respect to the other three speci cations.
YR 2009
FD 2009-01
LK https://hdl.handle.net/10016/3474
UL https://hdl.handle.net/10016/3474
LA eng
DS e-Archivo
RD 25 may. 2024