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EGARCH models with fat tails, skewness and leverage

  • Harvey, A.
  • Sucarrat, G.

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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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
Contact details of provider: Web page: http://www.econ.cam.ac.uk/index.htm

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  20. Drew Creal & Siem Jan Koopman & André Lucas, 2013. "Generalized Autoregressive Score Models With Applications," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(5), pages 777-795, 08.
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