Kurtosis of EGARCH model
EGARCH models, which describe the statistical characters of financial data well and truly, have been applied in modeling the relation between conditional variance and asset returns. This paper studies the moment properties of EGARCH model. Under assuming the independent uniform distribution sequence zt follows the standard normal distribution and general error distribution respective, the kurtosis of the return series that conditional variance go with EGARCH process is given.
GARCH model EGARCH model General Error Distribution Kurtosis
Handong Li
School of Management Beijing Normal University Beijing 100875,P.R.China
国际会议
International Symposium on Financial Engineering and Risk Management(2008年金融工程与风险管理)
上海
英文
144-147
2008-06-01(万方平台首次上网日期,不代表论文的发表时间)