On the statistical properties of multiplicative GARCH models
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 Bollersle...
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| Main Authors: | , |
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| Format: | Book/Monograph Working Paper |
| Language: | English |
| Published: |
Heidelberg
University of Heidelberg, Department of Economics
March 18, 2016
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| Series: | Discussion paper series / Universität Heidelberg, Department of Economics
No. 613 |
| In: |
Discussion paper series (no. 613)
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| DOI: | 10.11588/heidok.00020486 |
| Subjects: | |
| Online Access: | Resolving-System, kostenfrei, Volltext: http://nbn-resolving.de/urn:nbn:de:bsz:16-heidok-204866 Resolving-System, kostenfrei, Volltext: https://doi.org/10.11588/heidok.00020486 Resolving-System, kostenfrei, Volltext: http://hdl.handle.net/10419/162956 Verlag, kostenfrei, Volltext: http://www.ub.uni-heidelberg.de/archiv/20486 Verlag, kostenfrei, Volltext: http://archiv.ub.uni-heidelberg.de/volltextserver/20486/1/conrad_kleen_2016_dp613.pdf 
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| Author Notes: | Christian Conrad and Onno Kleen |
| Summary: | 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. |
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| Physical Description: | Online Resource |
| DOI: | 10.11588/heidok.00020486 |