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EGARCH models with fat tails, skewness and leverage

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  • Harvey, A.
  • Sucarrat, G.

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.

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File URL: http://www.econ.cam.ac.uk/research/repec/cam/pdf/cwpe1236.pdf
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Bibliographic Info

Paper provided by Faculty of Economics, University of Cambridge in its series Cambridge Working Papers in Economics with number 1236.

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Date of creation: 17 Aug 2012
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Handle: RePEc:cam:camdae:1236

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Web page: http://www.econ.cam.ac.uk/index.htm

Related research

Keywords: General error distribution; heteroskedasticity; leverage; score; Student?s t; two components.;

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Cited by:
  1. Krenar AVDULAJ & Jozef BARUNIK, 2013. "Can We Still Benefit from International Diversification? The Case of the Czech and German Stock Markets," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 63(5), pages 425-442, November.
  2. M. Caivano & A. Harvey, 2013. "Two EGARCH models and one fat tail," Cambridge Working Papers in Economics 1326, Faculty of Economics, University of Cambridge.
  3. Michele Caivano & Andrew Harvey, 2014. "Time series models with an EGB2 conditional distribution," Temi di discussione (Economic working papers) 947, Bank of Italy, Economic Research and International Relations Area.
  4. Krenar Avdulaj & Jozef Barunik, 2013. "Are benefits from oil - stocks diversification gone? A new evidence from a dynamic copulas and high frequency data," Papers 1307.5981, arXiv.org.
  5. Harvey, A. & Luati, A., 2012. "Filtering with heavy tails," Cambridge Working Papers in Economics 1255, Faculty of Economics, University of Cambridge.

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