Kurtosis of GARCH and stochastic volatility models with non-normal innovations

被引：92

作者：

Bai, XZ ^{[1
]}

Russell, JR ^{[1
]}

Tiao, GC ^{[1
]}

机构：

[1] Univ Chicago, Grad Sch Business, Chicago, IL 60637 USA

来源：

JOURNAL OF ECONOMETRICS | 2003年 / 114卷 / 02期

关键词：

GARCH; stochastic volatility; kurtosis; mixture normal distribution;

D O I：

10.1016/S0304-4076(03)00088-5

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Both volatility clustering and conditional non-normality can induce the leptokurtosis typically observed in-financial data. In this paper, the exact representation of kurtosis is derived for both GARCH and stochastic volatility models when innovations may be conditionally non-normal. We find that, for both models, the volatility clustering and non-normality contribute interactively and symmetrically to the overall kurtosis of the series. (C) 2003 Elsevier Science B.V. All rights reserved.

引用

页码：349 / 360

页数：12

共 14 条

[1]

BAI X, 2001, MERTONS UTOPIA EFFEC

[2] GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY [J].