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EGARCH models with fat tails, skewness and leverage

Author Info

Listed author(s):
  • 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-files/repec/cam/pdf/cwpe1236.pdf
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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
Handle: RePEc:cam:camdae:1236
Contact details of provider: Web page: http://www.econ.cam.ac.uk/

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

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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; Diffusion Processes
  • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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