The time-varying GARCH-in-mean model

Fruet Dias, Gustavo (2017) The time-varying GARCH-in-mean model. Economics Letters, 157. pp. 129-132. ISSN 0165-1765

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Abstract

I propose an estimation strategy for the stochastic time-varying risk premium parameter in the context of a time-varying GARCH-in-mean (TVGARCH-in-mean) model. A Monte Carlo study shows that the proposed algorithm has good finite sample properties. Using monthly excess returns on the CRSP index, I document that the risk premium parameter is indeed time-varying and shows high degree of persistence.

Item Type: Article
Faculty \ School: Faculty of Social Sciences > School of Economics
Depositing User: LivePure Connector
Date Deposited: 30 Sep 2019 09:30
Last Modified: 20 Aug 2020 00:55
URI: https://ueaeprints.uea.ac.uk/id/eprint/72418
DOI: 10.1016/j.econlet.2017.06.005

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