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

Risultato della ricerca: Contributo in rivista › Articolo

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

Lingua originale	Inglese
pagine (da-a)	1-5
Numero di pagine	5
Rivista	Economics Letters
Volume	2019
Numero di pubblicazione	183
DOI	https://doi.org/10.1016/j.econlet.2019.108552
Stato di pubblicazione	Pubblicato - 2019

All Science Journal Classification (ASJC) codes

Finanza
Economia ed Econometria

Keywords

GARCH model
Gram–Charlier-like expansions
Kurtosis
Orthogonal polynomials

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10.1016/j.econlet.2019.108552

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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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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

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JO - Economics Letters

JF - Economics Letters

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ER -

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

Abstract

All Science Journal Classification (ASJC) codes

Keywords

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