On the Invertibility of EGARCH
Of the two most widely estimated univariate asymmetric conditional volatility models, the exponential GARCH (or EGARCH) specification can capture asymmetry, which refers to the different effects on conditional volatility of positive and negative effects of equal magnitude, and leverage, which refers...
| Autores: | , |
|---|---|
| Tipo de documento: | relatório científico |
| Data de publicação: | 2014 |
| País: | España |
| Recursos: | Universidad Complutense de Madrid (UCM) |
| Repositório: | Docta Complutense |
| Idioma: | inglês |
| OAI Identifier: | oai:docta.ucm.es:20.500.14352/41608 |
| Acesso em linha: | https://hdl.handle.net/20.500.14352/41608 |
| Access Level: | Acceso aberto |
| Palavra-chave: | C22 C52 C58 G32 Leverage asymmetry Existence Stochastic process asymptotic properties Invertibility. Econometría (Economía) 5302 Econometría |
| Resumo: | Of the two most widely estimated univariate asymmetric conditional volatility models, the exponential GARCH (or EGARCH) specification can capture asymmetry, which refers to the different effects on conditional volatility of positive and negative effects of equal magnitude, and leverage, which refers to the negative correlation between the returns shocks and subsequent shocks to volatility. However, the statistical properties of the (quasi-) maximum likelihood estimators (QMLE) of the EGARCH parameters are not available under general conditions, but only for special cases under highly restrictive and unverifiable conditions. A limitation in the development of asymptotic properties of the QMLE for EGARCH is the lack of an invertibility condition for the returns shocks underlying the model. It is shown in this paper that the EGARCH model can be derived from a stochastic process, for which the invertibility conditions can be stated simply and explicitly. This will be useful in re-interpreting the existing properties of the QMLE of the EGARCH parameters. |
|---|