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Comparing sample and plug-in moments in asymmetric Garch Models

Author

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  • Rodríguez, Mª José
  • Ruiz Ortega, Esther

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.

Suggested Citation

  • Rodríguez, Mª José & Ruiz Ortega, Esther, 2010. "Comparing sample and plug-in moments in asymmetric Garch Models," DES - Working Papers. Statistics and Econometrics. WS ws104125, Universidad Carlos III de Madrid. Departamento de Estadística.
    • Handle: RePEc:cte:wsrepe:ws104125
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    References listed on IDEAS

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    1. Ana Pérez & Esther Ruiz, 2003. "Properties of the Sample Autocorrelations of Nonlinear Transformations in Long-Memory Stochastic Volatility Models," Journal of Financial Econometrics, Oxford University Press, vol. 1(3), pages 420-444.
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    Cited by:

    1. Ruiz Esther & Pérez Ana, 2012. "Maximally Autocorrelated Power Transformations: A Closer Look at the Properties of Stochastic Volatility Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 16(3), pages 1-33, September.

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    More about this item

    Keywords

    Autocorrelations of squares;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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