IDEAS home Printed from https://ideas.repec.org/p/crs/wpaper/2020-21.html
   My bibliography  Save this paper

Conditional asymmetry in ARCH($\infty$) models

Author

Listed:
  • Julien Royer

    (CREST, ENSAE, Institut Polytechnique de Paris)

Abstract

We consider an extension of ARCH($\infty$) models to account for conditional asymmetry in the presence of high persistence. After stating existence and stationarity conditions, this paper develops the statistical inference of such models and proves the consistency and asymptotic distribution of a Quasi Maximum Likelihood estimator. Some particular specifications are studied and tests for asymmetry and GARCH validity are derived. Finally we present an application on a set of equity indice store examine the preeminence of GARCH (1,1) specifications. We find strong evidences that the short memory feature of such models is not suitable for lightly traded assets.

Suggested Citation

  • Julien Royer, 2020. "Conditional asymmetry in ARCH($\infty$) models," Working Papers 2020-21, Center for Research in Economics and Statistics.
    • Handle: RePEc:crs:wpaper:2020-21
    as

    Download full text from publisher

    File URL: http://crest.science/RePEc/wpstorage/2020-21.pdf
    File Function: CREST working paper version
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    ARCH($infty$) models; conditional asymmetry; Quasi Maximum Likelihood Estimation;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:crs:wpaper:2020-21. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Secretariat General (email available below). General contact details of provider: https://edirc.repec.org/data/crestfr.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.