The time-varying GARCH-in-mean model

被引：6

作者：

Dias, Gustavo Fruet ^{[1
,2
]}

机构：

[1] CREATES, Fuglesangs Alle 4, DK-8210 Aarhus V, Denmark

[2] Aarhus Univ, Fuglesangs Alle 4, DK-8210 Aarhus V, Denmark

来源：

ECONOMICS LETTERS | 2017年 / 157卷

基金：

新加坡国家研究基金会;

关键词：

Risk-return tradeoff; Time-varying coefficients; Iterative estimators; GARCH-type models;

D O I：

10.1016/j.econlet.2017.06.005

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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. (C) 2017 Elsevier B.V. All rights reserved.

引用

页码：129 / 132

页数：4

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