GARCH models with leverage effect : differences and similarities
AbstractIn this paper, we compare the statistical properties of some of the most popular GARCH models with leverage effect when their parameters satisfy the positivity, stationarity and nite fourth order moment restrictions. We show that the EGARCH specication is the most exible while the GJR model may have important limitations when restricted to have nite kurtosis. On the other hand, we show empirically that the conditional standard deviations estimated by the TGARCH and EGARCH models are almost identical and very similar to those estimated by the APARCH model. However, the estimates of the QGARCH and GJR models differ among them and with respect to the other three specications.
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Bibliographic InfoPaper provided by Universidad Carlos III, Departamento de Estadística y Econometría in its series Statistics and Econometrics Working Papers with number ws090302.
Date of creation: Jan 2009
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EGARCH; GJR; QGARCH; TGARCH; APARCH;
Find related papers by JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-02-22 (All new papers)
- NEP-ECM-2009-02-22 (Econometrics)
- NEP-ETS-2009-02-22 (Econometric Time Series)
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