The time-varying GARCH-in-mean model

Gustavo Fruet Dias

doi:10.1016/j.econlet.2017.06.005

The time-varying GARCH-in-mean model

Gustavo Fruet Dias

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Abstract

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.

Original language	English
Pages (from-to)	129-132
Number of pages	4
Journal	Economics Letters
Volume	157
Early online date	12 Jun 2017
DOIs	https://doi.org/10.1016/j.econlet.2017.06.005
Publication status	Published - 1 Aug 2017

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10.1016/j.econlet.2017.06.005

TVGARCH_in_mean_2017_EL_RevisionAccepted author manuscript, 497 KBLicence: CC BY-NC-ND

Gustavo Fruet Dias
- G.Fruet-Diasuea.acuk
- School of Economics - Associate Professor in Economics
- Applied Econometrics And Finance - Member
Person: Research Group Member, Academic, Teaching & Research

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title = "The time-varying GARCH-in-mean model",

abstract = "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.",

author = "{Fruet Dias}, Gustavo",

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N2 - 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.

AB - 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.

U2 - 10.1016/j.econlet.2017.06.005

DO - 10.1016/j.econlet.2017.06.005

M3 - Article

VL - 157

SP - 129

EP - 132

JO - Economics Letters

JF - Economics Letters

SN - 0165-1765

ER -

The time-varying GARCH-in-mean model

Abstract

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Gustavo Fruet Dias

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