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- W2739086997 abstract "Abstract This paper discusses four GARCH-type models (A-GARCH, NA-GARCH, GJR-GARCH, and E-GARCH) in representing volatility of financial returns with leverage effect. In these models, errors are assumed to follow a Laplace distribution in order to deal with the typical leptokurtic feature of financial returns. The properties of these models are analyzed theoretically in terms of unconditional variance, kurtosis, autocorrelation function and news impact, and are further examined in the applications to real financial time series. Comparison is made with other choices of error distributions such as normal, Student-5, and Student-7 distributions, respectively. We also conduct residual analyses to justify the choice of error distributions and find that Laplace-E-GARCH model still performs very well. Our main purpose is to study and compare the proposed models’ relative adequacies and underlying limitations." @default.
- W2739086997 created "2017-07-31" @default.
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- W2739086997 date "2017-07-18" @default.
- W2739086997 modified "2023-09-23" @default.
- W2739086997 title "Volatility Modeling with Leverage Effect under Laplace Errors" @default.
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- W2739086997 doi "https://doi.org/10.1515/jtse-2016-0019" @default.
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