dc.contributor.author | HERACLEOUS, Maria S. | |
dc.date.accessioned | 2007-12-11T09:32:25Z | |
dc.date.available | 2007-12-11T09:32:25Z | |
dc.date.issued | 2007 | |
dc.identifier.issn | 1830-7728 | |
dc.identifier.uri | https://hdl.handle.net/1814/7636 | |
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| | |
eui.subscribe.skip | true | |