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
收藏
页码：129 / 132
页数：4
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