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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: | ![]() |