Advanced search options

You searched for `subject:(GARCH skew t)`

. One record found.

▼ Search Limiters

The Ohio State University

1. Kim, Young Il. Essays on Volatility Risk, Asset Returns and Consumption-Based Asset Pricing.

Degree: PhD, Economics, 2008, The Ohio State University

URL: http://rave.ohiolink.edu/etdc/view?acc_num=osu1211912340

My dissertation addresses two main issues
regarding asset returns: econometric modeling of asset returns in
chapters 2 and 3 and puzzling features of the standard
consumption-based asset pricing model (C-CAPM) in chapters 4 and 5.
Chapter 2 develops a new theoretical derivation for the
GARCH-skew-t model as a mixture distribution of normal and
inverted-chi-square in order to represent the three important
stylized facts of financial data: volatility clustering, skewness
and thick-tails. The GARCH-skew-t is same as the GARCH-t model if
the skewness parameter is shut-off. The GARCH-skew-t is applied to
U.S. excess stock market returns, and the equity premium is
computed based on the estimated model. It is shown that skewness
and kurtosis can have significant effect on the equity premium and
that with sufficiently negatively skewed distribution of the excess
returns, a finite equity premium can be assured, contrary to the
case of the Student t in which an infinite equity premium
arises. Chapter 3 provides a new empirical
guidance for modeling a skewed and thick-tailed error distribution
along with GARCH effects based on the theoretical derivation for
the GARCH-skew-t model and empirical findings on the Realized
Volatility (RV) measure, constructed from the summation of higher
frequency squared (demeaned) returns. Based on an 80-year sample of
U.S. daily stock market returns, it is found that the distribution
of monthly RV conditional on past returns is approximately the
inverted-chi-square while monthly market returns, conditional on RV
and past returns are normally distributed with RV in both mean and
variance. These empirical findings serve as the building blocks
underlying the GARCH-skew-t model. Thus, the findings provide a new
empirical justification for the GARCH-skew-t modeling of equity
returns. Moreover, the implied GARCH-skew-t model accurately
represents the three important stylized facts for equity
returns. Chapter 4 provides a possible solution
to asset return puzzles such as high equity premium and low
riskfree rate based on parameter uncertainty. It is shown that
parameter uncertainty underlying the data generating process can
lead to a negatively skewed and thick-tailed distribution that can
explain most of the high equity premium and low riskfree rate even
with the degree of risk aversion below 10 in the CRRA utility
function. Chapter 5 investigates a possible link
between stock market volatility and macroeconomic risk. This
chapter studies why U.S. stock market volatility has not changed
much during the “great moderation” era of the 1980s in contrast to
the prediction made by the standard C-CAPM. A new model is
developed such that aggregate consumption is decomposed into stock
and non-stock source of income so that stock dividends are a small
part of consumption. This new model predicts that the great
moderation of macroeconomic risk must have originated from
declining volatility of shocks to the relatively large non-stock
factor of production while shocks to the relatively small…
*Advisors/Committee Members: McCulloch, J. Huston (Advisor).*

Subjects/Keywords: Skew Student t distribution; GARCH-skew-t; volatility clustering; fat tails; skewness; stock returns; realized volatility; mixture-of-distributions; equity premium; asset return puzzles; consumption-based asset pricing; parameter uncertainty; Normal Inver

Record Details Similar Records

❌

APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Kim, Y. I. (2008). Essays on Volatility Risk, Asset Returns and Consumption-Based Asset Pricing. (Doctoral Dissertation). The Ohio State University. Retrieved from http://rave.ohiolink.edu/etdc/view?acc_num=osu1211912340

Chicago Manual of Style (16^{th} Edition):

Kim, Young Il. “Essays on Volatility Risk, Asset Returns and Consumption-Based Asset Pricing.” 2008. Doctoral Dissertation, The Ohio State University. Accessed December 15, 2019. http://rave.ohiolink.edu/etdc/view?acc_num=osu1211912340.

MLA Handbook (7^{th} Edition):

Kim, Young Il. “Essays on Volatility Risk, Asset Returns and Consumption-Based Asset Pricing.” 2008. Web. 15 Dec 2019.

Vancouver:

Kim YI. Essays on Volatility Risk, Asset Returns and Consumption-Based Asset Pricing. [Internet] [Doctoral dissertation]. The Ohio State University; 2008. [cited 2019 Dec 15]. Available from: http://rave.ohiolink.edu/etdc/view?acc_num=osu1211912340.

Council of Science Editors:

Kim YI. Essays on Volatility Risk, Asset Returns and Consumption-Based Asset Pricing. [Doctoral Dissertation]. The Ohio State University; 2008. Available from: http://rave.ohiolink.edu/etdc/view?acc_num=osu1211912340