Conditional asymmetry in ARCH($\infty$) models

Julien Royer ()

No 2020-21, Working Papers from Center for Research in Economics and Statistics

Abstract: We consider an extension of ARCH($\infty$) models to account for conditional asymmetry in the presence of high persistence. After stating existence and stationarity conditions, this paper develops the statistical inference of such models and proves the consistency and asymptotic distribution of a Quasi Maximum Likelihood estimator. Some particular specifications are studied and tests for asymmetry and GARCH validity are derived. Finally we present an application on a set of equity indice store examine the preeminence of GARCH (1,1) specifications. We find strong evidences that the short memory feature of such models is not suitable for lightly traded assets.

Keywords: ARCH($\infty$) models; conditional asymmetry; Quasi Maximum Likelihood Estimation (search for similar items in EconPapers)
JEL-codes: C22 C51 C58 (search for similar items in EconPapers)
Pages: 69 pages
Date: 2020-07-07
New Economics Papers: this item is included in nep-ecm and nep-ets
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