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

Journal of Econometrics

Volumn 114, Issue 2, 2003, Pages 349-360

  Bai, Xuezheng ^a   Russell, Jeffrey R ^a   Tiao, George C ^a  

^a UNIVERSITY OF CHICAGO   (United States)

Author keywords

GARCH; Kurtosis; Mixture normal distribution; Stochastic volatility

Indexed keywords

FINANCIAL DATA PROCESSING; NONLINEAR SYSTEMS; NORMAL DISTRIBUTION; PARAMETER ESTIMATION; STATISTICAL TESTS; THEOREM PROVING; TIME SERIES ANALYSIS;

KURTOSIS; STOCHASTIC VOLATILITY MODELS; VOLATILITY CLUSTERING;

RANDOM PROCESSES;

EID: 0347354940     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4076(03)00088-5     Document Type: Article

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