dc.contributor.author | HERACLEOUS, Maria S. | |
dc.date.accessioned | 2007-12-17T16:37:24Z | |
dc.date.available | 2007-12-17T16:37:24Z | |
dc.date.issued | 2007 | |
dc.identifier.issn | 1725-6704 | |
dc.identifier.uri | https://hdl.handle.net/1814/7693 | |
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 ECO | en |
dc.relation.ispartofseries | 2007/60 | 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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