EGARCH models with fat tails, skewness and leverage
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OriginalversjonComputational Statistics and Data Analysis, 76(2014): 320-338 10.1016/j.csda.2013.09.022
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 distribu- tion 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 correspond- ing skewed-t GARCH model.
This is the manuscript to the article first published in Cambridge Working Papers in Economics: http://www.econ.cam.ac.uk/research/repec/cam/pdf/cwpe1236.pdf