Kurtosis analysis in GARCH models with Gram–Charlier-like innovations

Maria Zoia; Gianmarco Vacca

doi:10.1016/j.econlet.2019.108552

Kurtosis analysis in GARCH models with Gram–Charlier-like innovations

Maria Zoia
, Gianmarco Vacca

Research output: Contribution to journal › Article

2 Citations (Scopus)

Abstract

The approach based on polynomially-modified distributions, known as Gram–Charlier-like (GCl) expansions, has been proven effective to account for both excess kurtosis and skewness of financial data. In this paper, we examine GARCH models with innovations distributed as GCl expansions (GC-GARCH). The kurtosis gluts ascribable to both time-varying volatility and GCl distributed GARCH innovationsis evaluated. Furthermore, a ‘‘kurtosis targeting’’ approach is devised to estimate the kurtosis of GCl innovations. This leads to GC-GARCH models tailored to fit the kurtosis requirements of financial data

Original language	English
Pages (from-to)	1-5
Number of pages	5
Journal	Economics Letters
Volume	2019
Issue number	183
DOIs	https://doi.org/10.1016/j.econlet.2019.108552
Publication status	Published - 2019

All Science Journal Classification (ASJC) codes

Finance
Economics and Econometrics

Keywords

GARCH model
Gram–Charlier-like expansions
Kurtosis
Orthogonal polynomials

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10.1016/j.econlet.2019.108552

Cite this

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title = "Kurtosis analysis in GARCH models with Gram–Charlier-like innovations",

abstract = "The approach based on polynomially-modified distributions, known as Gram–Charlier-like (GCl) expansions, has been proven effective to account for both excess kurtosis and skewness of financial data. In this paper, we examine GARCH models with innovations distributed as GCl expansions (GC-GARCH). The kurtosis gluts ascribable to both time-varying volatility and GCl distributed GARCH innovationsis evaluated. Furthermore, a {\textquoteleft}{\textquoteleft}kurtosis targeting{\textquoteright}{\textquoteright} approach is devised to estimate the kurtosis of GCl innovations. This leads to GC-GARCH models tailored to fit the kurtosis requirements of financial data",

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AU - Zoia, Maria

AU - Vacca, Gianmarco

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KW - GARCH model

KW - Gram–Charlier-like expansions

KW - Kurtosis

KW - Orthogonal polynomials

KW - GARCH model

KW - Gram–Charlier-like expansions

KW - Kurtosis

KW - Orthogonal polynomials

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JO - Economics Letters

JF - Economics Letters

IS - 183

ER -

Kurtosis analysis in GARCH models with Gram–Charlier-like innovations

Abstract

All Science Journal Classification (ASJC) codes

Keywords

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