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Skewness of Gaussian Mixture Absolute Value GARCH(1, 1) Model
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 Title & Authors
Skewness of Gaussian Mixture Absolute Value GARCH(1, 1) Model
Lee, Taewook;
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 Abstract
This paper studies the skewness of the absolute value GARCH(1, 1) models with Gaussian mixture innovations (Gaussian mixture AVGARCH(1, 1) models). The maximum estimated-likelihood estimator (MELE) employed (a two- step estimation method in order to estimate the skewness of Gaussian mixture AVGARCH(1, 1) models. Through the real data analysis, the adequacy of adopting Gaussian mixture innovations is exhibited in reflecting the skewness of two major Korean stock indices.
 Keywords
AVGARCH model;Gaussian mixture;skewness;Taylor effect;
 Language
English
 Cited by
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