GARCH processes with skewed and leptokurtic innovations: Revisiting the Johnson Su case

Jean-Guy Simonato

Finance Research Letters, 2012, vol. 9, issue 4, 213-219

Abstract: We revisit the specification of GARCH processes with Johnson Su innovations examined in Choi and Nam [2008. Journal of Empirical Finance 15, 41–63]. This model, allowing for skewed and leptokurtic innovations, has many advantages over well known alternatives. We examine a simpler version of their specification which does not require the introduction of a location parameter. The likelihood function is derived and the model is estimated with the daily returns of six international stock indexes. The results show that the model provides an accurate fit using the past ten years of index returns which include the recent turbulent periods of the sub-prime and European sovereign debt crisis.

Keywords: GARCH; Johnson distributions; Skewness; Kurtosis (search for similar items in EconPapers)
JEL-codes: C58 G10 G15 G17 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:9:y:2012:i:4:p:213-219

DOI: 10.1016/j.frl.2012.06.002

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