BL-GARCH models with elliptical distributed innovations

Diongue, Abdou Ka, Guegan, Dominique and Wolff, Rodney C. (2010) BL-GARCH models with elliptical distributed innovations. Journal of Statistical Computation And Simulation, 80 7: 775-791. doi:10.1080/00949650902773577


Author Diongue, Abdou Ka
Guegan, Dominique
Wolff, Rodney C.
Title BL-GARCH models with elliptical distributed innovations
Journal name Journal of Statistical Computation And Simulation   Check publisher's open access policy
ISSN 0094-9655
1026-7778
1563-5163
Publication date 2010-01-01
Sub-type Article (original research)
DOI 10.1080/00949650902773577
Volume 80
Issue 7
Start page 775
End page 791
Total pages 17
Place of publication Abingdon, Oxfordshire, United Kingdom
Publisher Taylor & Francis
Language eng
Abstract In this work, we discuss the class of bilinear GARCH (BL-GARCH) models that are capable of capturing simultaneously two key properties of non-linear time series: volatility clustering and leverage effects. It has often been observed that the marginal distributions of such time series have heavy tails; thus we examine the BL-GARCH model in a general setting under some non-normal distributions. We investigate some probabilistic properties of this model and we conduct a Monte Carlo experiment to evaluate the small-sample performance of the maximum likelihood estimation (MLE) methodology for various models. Finally, within-sample estimation properties were studied using S&P 500 daily returns, when the features of interest manifest as volatility clustering and leverage effects. The main results suggest that the Student-t BL-GARCH seems highly appropriate to describe the S&P 500 daily returns.
Keyword BL\-GARCH process
Elliptical distribution
Leverage effects
Maximum likelihood
Q-Index Code C1
Q-Index Status Provisional Code
Institutional Status Non-UQ

Document type: Journal Article
Sub-type: Article (original research)
Collection: W.H. Bryan Mining Geology Research Centre
 
Versions
Version Filter Type
Citation counts: TR Web of Science Citation Count  Cited 3 times in Thomson Reuters Web of Science Article | Citations
Scopus Citation Count Cited 6 times in Scopus Article | Citations
Google Scholar Search Google Scholar
Created: Wed, 18 Jun 2014, 01:05:52 EST by Rodney Wolff on behalf of WH Bryan Mining and Geology Centre