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Tail Behavior and Dependence Structure in the APARCH Model
Örebro University, Örebro University School of Business.ORCID iD: 0000-0002-1488-4703
Örebro School of Business, Örebro University, Sweden.
2016 (English)In: Journal of Time Series Econometrics, ISSN 1941-1928, E-ISSN 1941-1928Article in journal (Other academic) Published
Abstract [en]

The APARCH model attempts to capture asymmetric responses of volatility to positive and negative ‘news shocks’ – the phenomenon known as the leverage effect. Despite its potential, the model’s properties have not yet been fully investigated. While the capacity to account for the leverage is clear from the defining structure, little is known how the effect is quantified in terms of the model’s parameters. The same applies to the quantification of heavy-tailedness and dependence. To fill this void, we study the model in further detail. We study conditions of its existence in different metrics and obtain explicit characteristics: skewness, kurtosis, correlations and leverage. Utilizing these results, we analyze the roles of the parameters and discuss statistical inference. We also propose an extension of the model. Through theoretical results we demonstrate that the model can produce heavy-tailed data. We illustrate these properties using S&P500 data and country indices for dominant European economies.

Place, publisher, year, edition, pages
Berlin, Germany: Walter de Gruyter, 2016.
Keyword [en]
Time series models, heavy tails, leverage effect, estimation
National Category
Probability Theory and Statistics
Research subject
Statistics
Identifiers
URN: urn:nbn:se:oru:diva-55189DOI: 10.1515/jtse-2016-0002Scopus ID: 2-s2.0-85026844668OAI: oai:DiVA.org:oru-55189DiVA: diva2:1070670
Funder
Riksbankens Jubileumsfond, P13-1024:1Swedish Research Council, 2013–5180
Available from: 2017-02-01 Created: 2017-02-01 Last updated: 2017-10-17Bibliographically approved

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Javed, Farrukh
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CiteExportLink to record
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Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
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Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf