TY - JOUR
T1 - Kurtosis analysis in GARCH models with Gram–Charlier-like innovations
AU - Zoia, Maria
AU - Vacca, Gianmarco
PY - 2019
Y1 - 2019
N2 - 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
AB - 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
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
UR - https://publicatt.unicatt.it/handle/10807/145292
UR - https://www.scopus.com/inward/citedby.uri?partnerID=HzOxMe3b&scp=85069730519&origin=inward
UR - https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85069730519&origin=inward
U2 - 10.1016/j.econlet.2019.108552
DO - 10.1016/j.econlet.2019.108552
M3 - Article
SN - 0165-1765
VL - 2019
SP - 1
EP - 5
JO - Economics Letters
JF - Economics Letters
IS - 183
ER -