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Skewness of Gaussian Mixture Absolute Value GARCH(1, 1) Model

  • Lee, Taewook (Department of Statistics, Hankuk University of Foreign Studies)
  • Received : 2013.06.26
  • Accepted : 2013.08.07
  • Published : 2013.09.30

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.

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