Journal of Statistics: Advances in Theory and ApplicationsAuthor's: Anupam Dutta
Pages: [99] - [108]
Received Date: October 22, 2014
Submitted by:
In this paper, we estimate GARCH, EGARCH, and GJR-GARCH models assuming normal and heavy-tailed distribution (i.e., GED). Results suggest that when the heavy-tailed distribution is considered, the persistence has found to be reduced in all the cases. Findings also reveal that positive shocks are more common than the negative shocks in this market.
GARCH models, volatility, asymmetric response.
