EGARCH models with fat tails, skewness and leverage
Andrew Harvey and
Cambridge Working Papers in Economics from Faculty of Economics, University of Cambridge
An EGARCH model in which the conditional distribution is heavy-tailed and skewed is proposed. The properties of the model, including unconditional moments, autocorrelations and the asymptotic distribution of the maximum likelihood estimator, are obtained. Evidence for skewness in conditional t-distribution is found for a range of returns series and the model is shown to give a better .t than the corresponding skewed-t GARCH model.
Keywords: General error distribution; heteroskedasticity; leverage; score; Student?s t, two components. (search for similar items in EconPapers)
JEL-codes: C22 G17 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm and nep-ets
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Journal Article: EGARCH models with fat tails, skewness and leverage (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:cam:camdae:1236
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