期刊名称：Discussion Paper Series / Universität Heidelberg, Department of Economics
出版年度：2016
出版社：Universität Heidelberg, Department of Economics
摘要：We examine the statistical properties of multiplicative GARCH models. First, we show that in multiplicative models, returns have higher kurtosis and squared re- turns have a more persistent autocorrelation function than in the nested GARCH model. Second, we extend the results of Andersen and Bollerslev (1998) on the upper bound of the R 2 in a Mincer-Zarnowitz regression to the case of a mul- tiplicative GARCH model, using squared returns as a proxy for the true but unobservable conditional variance. Our theoretical results imply that multiplica- tive GARCH models provide an explanation for stylized facts that cannot be captured by classical GARCH modeling
