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 Online-Ressource | |
| Verfasst von: | Conrad, Christian [VerfasserIn]  |
| Kleen, Onno [VerfasserIn] | |
| Titel: | On the statistical properties of multiplicative GARCH models |
| Verf.angabe: | Christian Conrad and Onno Kleen |
| Verlagsort: | Heidelberg |
| Verlag: | University of Heidelberg, Department of Economics |
| E-Jahr: | 2016 |
| Jahr: | March 18, 2016 |
| Umfang: | 1 Online-Ressource (12 Seiten) |
| Gesamttitel/Reihe: | Discussion paper series / Universität Heidelberg, Department of Economics ; No. 613 |
| Abstract: | We examine the statistical properties of multiplicative GARCH models. First, we show that in multiplicative models, returns have higher kurtosis and squared returns have a more persistent autocorrelation function than in the nested GARCH model. Second, we extend the results of Andersen and Bollerslev (1998) on the upper bound of the R2 in a Mincer-Zarnowitz regression to the case of a multiplicative GARCH model, using squared returns as a proxy for the true but unobservable conditional variance. Our theoretical results imply that multiplicative GARCH models provide an explanation for stylized facts that cannot be captured by classical GARCH modeling. |
| DOI: | doi:10.11588/heidok.00020376 |
| URL: | kostenfrei: Volltext: http://nbn-resolving.de/urn:nbn:de:bsz:16-heidok-204866 |
| kostenfrei: Volltext: https://doi.org/10.11588/heidok.00020486 | |
| kostenfrei: Volltext: http://hdl.handle.net/10419/162956 | |
| kostenfrei: Volltext: http://www.ub.uni-heidelberg.de/archiv/20486 | |
| kostenfrei: Volltext: http://archiv.ub.uni-heidelberg.de/volltextserver/20486/1/conrad_kleen_2016_dp613.pdf | |
| DOI: https://doi.org/10.11588/heidok.00020376 | |
| 10419/162956 | |
| URN: | urn:nbn:de:bsz:16-heidok-204866 |
| Datenträger: | Online-Ressource |
| Sprache: | eng |
| Sach-SW: | Forecast evaluation |
| GARCH-MIDAS | |
| Mincer-Zarnowitz regression | |
| volatility persistence | |
| volatility component model | |
| long-term volatility | |
| Form-SW: | Arbeitspapier |
| Graue Literatur | |
| K10plus-PPN: | 857216643 |
| Verknüpfungen: | → Übergeordnete Aufnahme |
| Lokale URL UB: |  Zum Volltext |
