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The Time-Varying Garch-in-Mean Model

Gustavo Fruet Dias

出版	SSRN, 2017
URL	http://books.google.com.hk/books?id=kcP9zgEACAAJ&hl=&source=gbs_api

註釋

I introduce the time-varying GARCH-in-mean (TVGARCH-in-mean) model and propose an estimation strategy for the stochastic time-varying risk premium parameter. 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.