title: On the statistical properties of multiplicative GARCH models
creator: Conrad, Christian
creator: Kleen, Onno
subject: 330
subject: 330 Economics
description: We examine the statistical properties of multiplicative GARCH models. First, we show that in multiplicative models, returns have higher kurtosis and squared returns have a more persistent autocorrelation function than in the nested GARCH model. Second, we extend the results of Andersen and Bollerslev (1998) on the upper bound of the R2 in a Mincer-Zarnowitz regression to the case of a multiplicative GARCH model, using squared returns as a proxy for the true but unobservable conditional variance. Our theoretical results imply that multiplicative GARCH models provide an explanation for stylized facts that cannot be captured by classical GARCH modeling.
date: 2016-03
type: Working paper
type: info:eu-repo/semantics/workingPaper
type: NonPeerReviewed
format: application/pdf
identifier: https://archiv.ub.uni-heidelberg.de/volltextserverhttps://archiv.ub.uni-heidelberg.de/volltextserver/20486/1/conrad_kleen_2016_dp613.pdf
identifier: DOI:10.11588/heidok.00020486
identifier: urn:nbn:de:bsz:16-heidok-204866
identifier:   Conrad, Christian ; Kleen, Onno  (2016) On the statistical properties of multiplicative GARCH models.  [Working paper]     
relation: https://archiv.ub.uni-heidelberg.de/volltextserver/20486/
rights: info:eu-repo/semantics/openAccess
rights: http://archiv.ub.uni-heidelberg.de/volltextserver/help/license_urhg.html
language: eng