l Topic: Estimating A Bubble GARCH Mode

l Speaker: Dr. Yang ZU, Associate Professor, University of Macau

l Date and Time: 14:00-15:00, Oct. 29th, 2025 (Wednesday)

l Venue: T1-302-R1

l Language: English

Abstract: In financial econometrics, it is common to fit Generalized AutoRegressive Conditional Heteroskedasticity (GARCH) models to daily log returns. If explosiveness is present in the log price series of a financial asset, applying a GARCH model to the resulting log returns may lead to spurious explosive patterns in the estimated GARCH model. We propose a two-step method for consistently estimating the GARCH model parameters under such circumstances.

Speaker: Dr. Yang ZU is an Associate Professor in the Department of Economics at the University of Macau, where he also coordinates the Master of Social Sciences in Economics program. He earned his Ph.D. in Econometrics from the Tinbergen Institute and the University of Amsterdam in 2012, following earlier degrees from Wuhan University. His academic career includes previous posts as an Assistant Professor at the University of Nottingham and at City University London. Dr. ZU's research field is econometrics, with focus on financial econometrics, time-series analysis, stochastic volatility models, and testing for explosive bubbles in financial markets. He has published a bunch of research articles in Journal of Econometrics, Journal of Financial Econometrics, Journal of Empirical Finance, Journal of Business and Economic Statistics, Journal of Time Series Analysis, etc.