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EGARCH models with fat tails, skewness and leverage

Andrew Harvey and Genaro Sucarrat

Cambridge Working Papers in Economics from Faculty of Economics, University of Cambridge

Abstract: 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
Date: 2012-08-17
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Journal Article: EGARCH models with fat tails, skewness and leverage (2014) Downloads
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