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Julien ROYER (CREST) “CONDITIONAL ASYMMETRY IN ARCH(∞) MODELS”

October 22, 11:30 am - 12:30 pm

FINANCIAL ECONOMETRICS SEMINAR

Time: 11:30
Date: 22th of October 2020
Place: Room 2016

Julien ROYER (CREST) “CONDITIONAL ASYMMETRY IN ARCH(∞) MODELS”

Abstract : We consider an extension of ARCH(∞) models to account for conditional asymmetry in the presence of high persistence. After stating existence and stationarity conditions, this paper develops the statistical inference of such models and proves the consistency and asymptotic distribution of a Quasi Maximum Likelihood estimator. Some particular specifications are studied and tests for asymmetry and GARCH validity are derived. In addition, we present an application on a set of equity indices to reexamine the preeminence of GARCH(1,1) specifications. We find strong evidences that the short memory feature of such models is not suitable for lightly traded assets. Finally, potential multivariate extensions will be discussed.

Organizers:
Jean-Michel ZAKOIAN (CREST )

Sponsors:
CREST and ILB

Location:
Address
 : ENSAE ParisTech
5, avenue Henry Le Chatelier
91120 Palaiseau
How to come?

 

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Date:
October 22
Time:
11:30 am - 12:30 pm
Event Categories:
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