The Time-Varying Garch-in-Mean Model

I introduce the time-varying GARCH-in-mean (TVGARCH-in-mean) model and propose an estimation strategy for the stochastic time-varying risk premium parameter. A Monte Carlo study shows that the proposed algorithm has good finite sample properties. Using monthly excess returns on the CRSP index, I document that the risk premium parameter is indeed time-varying and shows high degree of persistence

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Year of publication:	2017
Authors:	Fruet Dias, Gustavo
Publisher:	[2017]: [S.l.] : SSRN
Subject:	ARCH-Modell \| ARCH model \| Zeitreihenanalyse \| Time series analysis

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Extent:	1 Online-Ressource (17 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 25, 2017 erstellt
Other identifiers:	10.2139/ssrn.2958132 [DOI]
Classification:	C13 - Estimation ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; c18 ; C22 - Time-Series Models ; G12 - Asset Pricing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012957847