Indirect Estimation of α-Stable Garch Models

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CALZOLARI, Giorgio, Roxana HALBLEIB, Alessandro PARRINI, 2012. Indirect Estimation of α-Stable Garch Models

@techreport{Calzolari2012Indir-29673, series={Working Paper Series / Department of Economics}, title={Indirect Estimation of α-Stable Garch Models}, year={2012}, number={2012‐31}, author={Calzolari, Giorgio and Halbleib, Roxana and Parrini, Alessandro} }

<rdf:RDF xmlns:dcterms="" xmlns:dc="" xmlns:rdf="" xmlns:bibo="" xmlns:dspace="" xmlns:foaf="" xmlns:void="" xmlns:xsd="" > <rdf:Description rdf:about=""> <dc:creator>Parrini, Alessandro</dc:creator> <dspace:isPartOfCollection rdf:resource=""/> <dcterms:abstract xml:lang="eng">It is a well-known fact that financial returns exhibit conditional heteroscedasticity and fat tails. While the GARCH-type models are very popular in depicting the conditional heteroscedasticity, the α-stable distribution is a natural candidate for the conditional distribution of financial returns. The α-stable distribution is a generalization of the normal distribution and is described by four parameters, two of which deal with tail-thickness and asymmetry. However, practical implementation of α-stable distribution in finance applications has been limited by its estimation difficulties. In this paper, we propose an indirect approach of estimating GARCH models with α-stable innovations by using as auxiliary models GARCH-type models with Student's t distributed innovations. We provide comprehensive empirical evidence on the performance of the method within a series of Monte Carlo simulation studies and an empirical application to financial returns.</dcterms:abstract> <dcterms:isPartOf rdf:resource=""/> <dc:contributor>Halbleib, Roxana</dc:contributor> <dspace:hasBitstream rdf:resource=""/> <dcterms:available rdf:datatype="">2015-01-30T09:45:04Z</dcterms:available> <dc:contributor>Parrini, Alessandro</dc:contributor> <dc:rights>terms-of-use</dc:rights> <dc:creator>Calzolari, Giorgio</dc:creator> <void:sparqlEndpoint rdf:resource="http://localhost/fuseki/dspace/sparql"/> <dcterms:hasPart rdf:resource=""/> <dc:date rdf:datatype="">2015-01-30T09:45:04Z</dc:date> <dcterms:rights rdf:resource=""/> <dc:contributor>Calzolari, Giorgio</dc:contributor> <dc:language>eng</dc:language> <dcterms:issued>2012</dcterms:issued> <bibo:uri rdf:resource=""/> <dc:creator>Halbleib, Roxana</dc:creator> <dcterms:title>Indirect Estimation of α-Stable Garch Models</dcterms:title> <foaf:homepage rdf:resource="http://localhost:8080/jspui"/> </rdf:Description> </rdf:RDF>

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