A Flexible Parametric GARCH Model with an Application to Exchange Rates

Asset price fluctuations commonly exhibit volatility clustering, asymmetry, leptokurtosis and high peakedness. Yet econometricians lack parametric methods flexible enough to accommodate all these effects. This paper introduces a GARCH model with a flexible parametric error distribution based on the exponential generalized beta (EGB) family. We apply this to daily exchange rate data for six major currencies and find this model outperforms alternative approaches

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Year of publication:	2001
Authors:	Wang, Kai Li ; Fawson, Christopher ; Barrett, Christopher B. ; McDonald, James
Publisher:	[S.l.] : SSRN
Subject:	ARCH-Modell \| ARCH model \| Wechselkurs \| Exchange rate \| Schätzung \| Estimation \| Volatilität \| Volatility \| Schätztheorie \| Estimation theory
Description of contents:	Abstract [papers.ssrn.com]

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Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Journal of Applied Econometrics Volltext nicht verfügbar
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014136966