Comparing sample and plug-in moments in asymmetric Garch Models

Mª José Rodríguez
Authors registered in the RePEc Author Service: Esther Ruiz (ortega@est-econ.uc3m.es)

DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de Estadística

Abstract: The adequacy of GARCH models is often analyzed by comparing plug-in and sample kurtosis and autocorrelations of squares. We analyse the finite sample suitability of this comparison and show that it is not appropiate in general.

Keywords: Kurtosis; Leverage; effect; TGARCH; Autocorrelations; of; squares; Cross-correlations; Heterocedasticity (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Date: 2010-10
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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