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dc.contributor.authorHERACLEOUS, Maria S.
dc.date.accessioned2007-12-17T16:37:24Z
dc.date.available2007-12-17T16:37:24Z
dc.date.issued2007
dc.identifier.issn1725-6704
dc.identifier.urihttp://hdl.handle.net/1814/7693
dc.description.abstractEconometric 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.mimetypeapplication/pdf
dc.language.isoenen
dc.publisherEuropean University Institute
dc.relation.ispartofseriesEUI ECOen
dc.relation.ispartofseries2007/60en
dc.rightsinfo:eu-repo/semantics/openAccess
dc.subjectStudent’s t distributionen
dc.subjectDegree of freedomen
dc.subjectKurtosis coefficienten
dc.subjectGARCH t modelen
dc.subjectC15en
dc.subjectC16en
dc.subjectC22en
dc.titleSample Kurtosis, GARCH-t and the Degrees of Freedom Issueen
dc.typeWorking Paperen
dc.neeo.contributorHERACLEOUS|Maria S.|aut|
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