| Full text | |
| Author(s): |
Daniel de Almeida
;
Luiz K. Hotta
Total Authors: 2
|
| Document type: | Journal article |
| Source: | Pesquisa Operacional; v. 34, n. 2, p. 237-250, 2014-08-00. |
| Abstract | |
Traditional GARCH models fail to explain at least two of the stylized facts found in financial series: the asymmetry of the distribution of errors and the leverage effect. The leverage effect stems from the fact that losses have a greater influence on future volatilities than do gains. Asymmetry means that the distribution of losses has a heavier tail than the distribution of gains. We test whether these features are present in some series related to the Brazilian market. To test for the presence of these features, the series were fitted by GARCH(1,1), TGARCH(1,1), EGARCH(1,1), and GJR-GARCH(1,1) models with standardized Student t distribution errors with and without asymmetry. Information criteria and statistical tests of the significance of the symmetry and leverage parameters are used to compare the models. The estimates of the VaR (value-at-risk) are also used in the comparison. The conclusion is that both stylized facts are present in some series, mostly simultaneously. (AU) | |
| FAPESP's process: | 08/51097-6 - Time Series, Dependence Analysis and Applications |
| Grantee: | Pedro Alberto Morettin |
| Support Opportunities: | Research Projects - Thematic Grants |
| FAPESP's process: | 11/02881-9 - Asymmetries in volatility and perturbations in volatility models |
| Grantee: | Daniel de Almeida |
| Support Opportunities: | Scholarships in Brazil - Master |