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	Provedor de dados AgEcon (1) Autor Ramirez, Octavio A. (1) Palavra-chave Autoregressive conditional heteroskedasticity (1) Error- term non-normality (1) Research Methods/ Statistical Methods (1) Skewness (1) Tipo do documento Conference Paper or Presentation (1) Ano 2001 (1) País United States (1) Idioma Inglês (1)		Ordenar por:  Relevância Autor Título Ano Registros recuperados: 1 Primeira ... 1 ... Última AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICY UNDER ERROR-TERM NON-NORMALITY AgEcon Ramirez, Octavio A.. This paper explores the impact of error-term non-normality on the performance of the normal-error Generalized Autoregressive Conditional Heteroskedastic (GARCH) model under small and moderate sample sizes. A non-normal-, asymmetric-error GARCH model is proposed, and its finite-sample performance is evaluated in comparison to the normal-error GARCH under various underlying error-term distributions. The results suggest that one must be skeptical of using the normal-error GARCH when there is evidence of conditional error-term non-normality. The conditional distribution of the error-term in a previous mainstream application of the normal GARCH is found to be non-normal and asymmetric. The same application is used to illustrate the advantages of the proposed... Tipo: Conference Paper or Presentation Palavras-chave: Error- term non-normality; Skewness; Autoregressive conditional heteroskedasticity; Research Methods/ Statistical Methods. Ano: 2001 URL: http://purl.umn.edu/20595 Registros recuperados: 1 Primeira ... 1 ... Última

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