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Title: A note on the estimated GARCH coefficients from the S&P1500 universe
Authors: Bampinas, Georgios
Ladopoulos, Konstantinos
Panagiotidis, Theodore
Type: Article
Subjects: FRASCATI::Social sciences
FRASCATI::Social sciences::Economics and Business
Keywords: GARCH
alternative distributions
Issue Date: 2018
Publisher: Taylor & Francis
Source: Applied Economics
Volume: 50
Issue: 34-35
First Page: 3647
Last Page: 3653
Abstract: We employ 1440 stocks listed in the S&P Composite 1500 Index of the NYSE. Three benchmark GARCH models are estimated for the returns of each individual stock under three alternative distributions (Normal, t and GED).We provide summary statistics for all the GARCH coefficients derived from 11520 regressions. The EGARCH model with GED errors emerges as the preferred choice for the individual stocks in the S&P 1500 universe when non-negativity and stationarity constraints in the conditional variance are imposed. 57% of the constraint’s violations are taking place in the S&P small cap stocks.
ISSN: 0003-6846
Other Identifiers: 10.1080/00036846.2018.1436155
Appears in Collections:Department of Economics

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