TY  - GEN
ID  - heidok20486
UR  - https://archiv.ub.uni-heidelberg.de/volltextserver/20486/
T3  - Discussion Paper Series, University of Heidelberg, Department of Economics
Y1  - 2016/03//
EP  - 10
TI  - On the statistical properties of multiplicative GARCH models
AV  - public
CY  - Heidelberg
KW  - Forecast evaluation
KW  -  GARCH-MIDAS
KW  -  Mincer-Zarnowitz regression
KW  - 
volatility persistence
KW  -  volatility component model
KW  -  long-term volatility.
A1  - Conrad, Christian
A1  - Kleen, Onno
N2  - 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.
ER  -