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Volatility Feedback and Risk Premium in GARCH Models with Generalized Hyperbolic Distributions

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Author Info

  • Minxian Yang

    (The University of New South Wales)

Abstract

The mixture structure of the generalized hyperbolic distribution of Barndorff-Nielsen (1997) is explored to quantify the contemporaneous correlation between return and volatility and to identify the effects of volatility feedback and risk premium within GARCH models. The statistical analysis of the excess returns based on the CRSP value-weighted portfolio index supports both volatility feedback and risk premium theories.

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File URL: http://www.bepress.com/cgi/viewcontent.cgi?article=1820&context=snde
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Bibliographic Info

Article provided by De Gruyter in its journal Studies in Nonlinear Dynamics & Econometrics.

Volume (Year): 15 (2011)
Issue (Month): 3 ()
Pages: 6

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Handle: RePEc:bpj:sndecm:v:15:y:2011:i:3:n:6

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Web page: http://www.degruyter.com

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Web: http://www.degruyter.com/view/j/snde

Related research

Keywords: contemporaneous correlation; ARCH-M decomposition; distributions; NIG distribution; GH skewed t distribution; maximum likelihood;

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Cited by:
  1. Carles Bretó & Helena Veiga, 2011. "Forecasting volatility: does continuous time do better than discrete time?," Statistics and Econometrics Working Papers ws112518, Universidad Carlos III, Departamento de Estadística y Econometría.

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