BL-GARCH model with elliptical distributed innovations

Abdou Ka Diongue, Dominique Guegan () and Rodney C. Wolff ()
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Dominique Guegan: PSE - Paris School of Economics - UP1 - Université Paris 1 Panthéon-Sorbonne - ENS-PSL - École normale supérieure - Paris - PSL - Université Paris Sciences et Lettres - EHESS - École des hautes études en sciences sociales - ENPC - École nationale des ponts et chaussées - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement, CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique
Rodney C. Wolff: School of Mathematical Sciences [Brisbane] - QUT - Queensland University of Technology [Brisbane]

Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL

Abstract: In this paper, we discuss the class of Bilinear GATRCH (BL-GARCH) models which are capable of capturing simultaneously two key properties of non-linear time series : volatility clustering and leverage effects. It has been observed often that the marginal distributions of such time series have heavy tails ; thus we examine the BL-GARCH model in a general setting under some non-Normal distributions. We investigate some probabilistic properties of this model and we propose and implement a maximum likelihood estimation (MLE) methodology. To evaluate the small-sample performance of this method for the various models, a Monte Carlo study is conducted. Finally, within-sample estimation properties are studied using S&P 500 daily returns, when the features of interest manifest as volatility clustering and leverage effects.

Keywords: BL-GARCH process; elliptical distribution; leverage effects; Maximum Likelihood; Monte Carlo method; volatility clustering (search for similar items in EconPapers)
Date: 2010-07
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00368340v1
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Citations: View citations in EconPapers (8)

Published in Journal of Statistical Computation and Simulation, 2010, 80 (7), pp.775-791. ⟨10.1080/00949650902773577⟩

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Working Paper: BL-GARCH model with elliptical distributed innovations (2010)
Working Paper: BL-GARCH model with elliptical distributed innovations (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:cesptp:halshs-00368340

DOI: 10.1080/00949650902773577

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