Revisiting Several Popular GARCH Models with Leverage Effect: Differences and Similarities
María José Rodríguez and
Esther Ruiz ()
Journal of Financial Econometrics, 2012, vol. 10, issue 4, 637-668
Abstract:
In this paper, we analyze five of the most popular models proposed to represent conditional heteroscedasticity with leverage effect, namely, GQARCH, TGARCH, GJR, EGARCH, and APARCH. We show that when the parameters satisfy the positivity, stationarity, and finite kurtosis conditions, the dynamics that the GJR and GQARCH models can represent are heavily limited while those of the TGARCH and EGARCH models are less restricted. Alternatively, when the parameters of the GQARCH and GJR models are estimated without restrictions, one can often conclude that the unconditional variance or kurtosis of returns do not exist even when they truly do. Copyright The Author, 2012. Published by Oxford University Press. All rights reserved. For Permissions, please email: journals.permissions@oxfordjournals.org, Oxford University Press.
Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (37)
Downloads: (external link)
http://hdl.handle.net/10.1093/jjfinec/nbs003 (application/pdf)
Access to full text is restricted to subscribers.
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:oup:jfinec:v:10:y:2012:i:4:p:637-668
Ordering information: This journal article can be ordered from
https://academic.oup.com/journals
Access Statistics for this article
Journal of Financial Econometrics is currently edited by Allan Timmermann and Fabio Trojani
More articles in Journal of Financial Econometrics from Oxford University Press Oxford University Press, Great Clarendon Street, Oxford OX2 6DP, UK. Contact information at EDIRC.
Bibliographic data for series maintained by Oxford University Press ().