Hello,
In a strong/weak Garch(1,1) context, what do we call conditional kurtosis as opposed to unconditional kurtosis? It corresponds to the fourth moment of which distribution?
Thx
Conditional/Unconditional kurtosis
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Rez
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Conditional/Unconditional kurtosis
Corinne,
what do you mean by stong/weak?
In the Gaussian Garch(1,1) the conditional distribution is normal and the conditional kurtosis is 3. Unconditionally you essentially end up with an unconditional mixture of normals with different variances, and the unconditional kurtosis is higher.
hope that this helps
Kyriakos
what do you mean by stong/weak?
In the Gaussian Garch(1,1) the conditional distribution is normal and the conditional kurtosis is 3. Unconditionally you essentially end up with an unconditional mixture of normals with different variances, and the unconditional kurtosis is higher.
hope that this helps
Kyriakos
www.theponytail.net