Menu Content/Inhalt
Seminars Print
previous year previous month next month next year
See by year See by month See by week See Today Search Jump to month
Dimitra Kyriakopoulou, UCLouvain Print
Thursday, 26 April 2018, 12:15 - 13:15

Dimitra Kyriakopoulou, UCLouvain

Exponential-type GARCH Models with Linear-in-variance Risk Premium

Abstract: One of the implications of the intertemporal capital asset pricing model (CAPM) is that the risk premium of the market portfolio is a linear function of its variance. Yet, estimation theory of classical GARCH-in-mean models with linear-in-variance risk premium requires strong assumptions and is incomplete. We show that exponential-type GARCH models such as EGARCH or Log-GARCH are more natural in dealing with linear-in-variance risk premia. For the popular and more difficult case of EGARCH-in-mean, we derive conditions for the existence of a unique stationary and ergodic solution and invertibility following a stochastic recurrence equation approach. We then show consistency and asymptotic normality of the quasi maximum likelihood estimator under weak moment assumptions. An empirical application estimates the dynamic risk premia of a variety of stock indices using both EGARCH-M and Log-GARCH-M models. 


Location: R42.2.113
Contact: Nancy De Munck - This e-mail address is being protected from spam bots, you need JavaScript enabled to view it