| Registro completo |
| Provedor de dados: |
AgEcon
|
| País: |
United States
|
| Título: |
AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICY UNDER ERROR-TERM NON-NORMALITY
|
| Autores: |
Ramirez, Octavio A.
|
| Data: |
2001-05-09
|
| Ano: |
2001
|
| Palavras-chave: |
Error- term non-normality
Skewness
Autoregressive conditional heteroskedasticity
Research Methods/ Statistical Methods
|
| Resumo: |
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 non-normal-error GARCH model.
|
| Tipo: |
Conference Paper or Presentation
|
| Idioma: |
Inglês
|
| Identificador: |
2484
http://purl.umn.edu/20595
|
| Editor: |
AgEcon Search
|
| Relação: |
American Agricultural Economics Association>2001 Annual meeting, August 5-8, Chicago, IL
Selected Paper
|
| Formato: |
25
application/pdf
|
