Analytic Moments For Conditional And Aggregated GARCH Variances And Returns

Stanescu, Silvia and Alexander, Carol and Lazar, Emese (2009) Analytic Moments For Conditional And Aggregated GARCH Variances And Returns. In: Society for Nonlinear Dynamics and Econometrics (SNDE) 17th Annual Symposium, 16th, 17th April 2009, Atlanta, USA. (Unpublished) (The full text of this publication is not available from this repository)

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Abstract

Knowledge of the dynamic properties and the higher moments of the distribution of returns on financial assets is of particular importance, since these processes exhibit volatility clustering and their distributions are also known to be non-normal. Thus the forecasting ability of GARCH models, which capture both of these effects, has been the subject of numerous research papers in the financial econometrics literature. However, most papers consider only the point variance forecasts generated by a GARCH process. This paper shows how approximate predictive distributions for forward and cumulative future returns and variances, in a generic asymmetric GARCH model, can be constructed. These are based on new analytic formulae for the first four moments, of the conditional returns and conditional variance distributions, and of the aggregated returns and variances.

Item Type: Conference or workshop item (Other)
Subjects: H Social Sciences > H Social Sciences (General)
Divisions: Faculties > Social Sciences > Kent Business School > Accounting and Finance
Depositing User: Cathy Norman
Date Deposited: 09 Feb 2012 16:16
Last Modified: 09 Jun 2014 13:37
Resource URI: http://kar.kent.ac.uk/id/eprint/28687 (The current URI for this page, for reference purposes)
ORCiD (Stanescu, Silvia):
ORCiD (Alexander, Carol):
ORCiD (Lazar, Emese):
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