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- Publisher Website: 10.1016/j.jeconom.2017.09.003
- Scopus: eid_2-s2.0-85032944627
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Article: The ZD-GARCH model: A new way to study heteroscedasticity
Title | The ZD-GARCH model: A new way to study heteroscedasticity |
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Authors | |
Keywords | Conditional heteroscedasticity GARCH model Generalized quasi-maximum likelihood estimator Heteroscedasticity Portmanteau test Stability test Top Lyapunov exponent Zero-drift GARCH model |
Issue Date | 2018 |
Publisher | Elsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/jeconom |
Citation | Journal of Econometrics, 2018, v. 202 n. 1, p. 1-17 How to Cite? |
Abstract | This paper proposes a first-order zero-drift GARCH (ZD-GARCH(1, 1)) model to study conditional heteroscedasticity and heteroscedasticity together. Unlike the classical GARCH model, the ZD-GARCH(1, 1) model is always non-stationary regardless of the sign of the Lyapunov exponent γ0, but interestingly it is stable with its sample path oscillating randomly between zero and infinity over time when γ0=0. Furthermore, this paper studies the generalized quasi-maximum likelihood estimator (GQMLE) of the ZD-GARCH(1, 1) model, and establishes its strong consistency and asymptotic normality. Based on the GQMLE, an estimator for γ0, a t-test for stability, a unit root test for the absence of the drift term, and a portmanteau test for model checking are all constructed. Simulation studies are carried out to assess the finite sample performance of the proposed estimators and tests. Applications demonstrate that a stable ZD-GARCH(1, 1) model is more appropriate than a non-stationary GARCH(1, 1) model in fitting the KV-A stock returns in Francq and Zakoïan (2012). |
Persistent Identifier | http://hdl.handle.net/10722/266459 |
ISSN | 2023 Impact Factor: 9.9 2023 SCImago Journal Rankings: 9.161 |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | Li, D | - |
dc.contributor.author | Zhang, X | - |
dc.contributor.author | Zhu, K | - |
dc.contributor.author | Ling, S | - |
dc.date.accessioned | 2019-01-18T08:20:04Z | - |
dc.date.available | 2019-01-18T08:20:04Z | - |
dc.date.issued | 2018 | - |
dc.identifier.citation | Journal of Econometrics, 2018, v. 202 n. 1, p. 1-17 | - |
dc.identifier.issn | 0304-4076 | - |
dc.identifier.uri | http://hdl.handle.net/10722/266459 | - |
dc.description.abstract | This paper proposes a first-order zero-drift GARCH (ZD-GARCH(1, 1)) model to study conditional heteroscedasticity and heteroscedasticity together. Unlike the classical GARCH model, the ZD-GARCH(1, 1) model is always non-stationary regardless of the sign of the Lyapunov exponent γ0, but interestingly it is stable with its sample path oscillating randomly between zero and infinity over time when γ0=0. Furthermore, this paper studies the generalized quasi-maximum likelihood estimator (GQMLE) of the ZD-GARCH(1, 1) model, and establishes its strong consistency and asymptotic normality. Based on the GQMLE, an estimator for γ0, a t-test for stability, a unit root test for the absence of the drift term, and a portmanteau test for model checking are all constructed. Simulation studies are carried out to assess the finite sample performance of the proposed estimators and tests. Applications demonstrate that a stable ZD-GARCH(1, 1) model is more appropriate than a non-stationary GARCH(1, 1) model in fitting the KV-A stock returns in Francq and Zakoïan (2012). | - |
dc.language | eng | - |
dc.publisher | Elsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/jeconom | - |
dc.relation.ispartof | Journal of Econometrics | - |
dc.subject | Conditional heteroscedasticity | - |
dc.subject | GARCH model | - |
dc.subject | Generalized quasi-maximum likelihood estimator | - |
dc.subject | Heteroscedasticity | - |
dc.subject | Portmanteau test | - |
dc.subject | Stability test | - |
dc.subject | Top Lyapunov exponent | - |
dc.subject | Zero-drift GARCH model | - |
dc.title | The ZD-GARCH model: A new way to study heteroscedasticity | - |
dc.type | Article | - |
dc.identifier.email | Zhu, K: mazhuke@hku.hk | - |
dc.identifier.authority | Zhu, K=rp02199 | - |
dc.description.nature | link_to_subscribed_fulltext | - |
dc.identifier.doi | 10.1016/j.jeconom.2017.09.003 | - |
dc.identifier.scopus | eid_2-s2.0-85032944627 | - |
dc.identifier.hkuros | 296557 | - |
dc.identifier.volume | 202 | - |
dc.identifier.issue | 1 | - |
dc.identifier.spage | 1 | - |
dc.identifier.epage | 17 | - |
dc.identifier.isi | WOS:000418106300001 | - |
dc.publisher.place | Netherlands | - |
dc.identifier.issnl | 0304-4076 | - |