Sample Kurtosis, GARCH-t and the Degrees of Freedom Issue

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Show simple item record HERACLEOUS, Maria S. 2007-12-11T09:32:25Z 2007-12-11T09:32:25Z 2007
dc.identifier.issn 1830-7728
dc.description.abstract Econometric modeling based on the Student's t distribution introduces an additional parameter -- the degree of freedom. In this paper we use a simulation study to investigate the ability of (i) the GARCH-t model (Bollerslev, 1987) to estimate the true degree of freedom parameter and (ii) the sample kurtosis coefficient to accurately determine the implied degrees of freedom. Simulation results reveal that the GARCH-t model and the sample kurtosis coefficient provide biased and inconsistent estimates of the degree of freedom parameter. Moreover, by varying σ², we find that only the constant term in the conditional variance equation is affected, while the other parameters remain unaffected. en
dc.format.mimetype application/pdf
dc.language.iso en en
dc.publisher European University Institute
dc.relation.ispartofseries EUI MWP en
dc.relation.ispartofseries 2007/32 en
dc.rights info:eu-repo/semantics/openAccess
dc.subject Student's t distribution en
dc.subject Degree of freedom en
dc.subject Kurtosis coefficient en
dc.subject GARCH t model en
dc.subject C15 en
dc.subject C16 en
dc.subject C22 en
dc.title Sample Kurtosis, GARCH-t and the Degrees of Freedom Issue en
dc.type Working Paper en
dc.neeo.contributor HERACLEOUS|Maria S.|aut|
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