Interpreting a Negative APGARCH Gamma Estimate

Summary

The document presents an APGARCH model output with a negative estimate for gamma and asks what its sign means and whether it indicates a leverage effect. The table also reports the estimate’s standard error, test statistic, and p-value, alongside estimates for the other model parameters. These values provide the basis for assessing the question: gamma is estimated below zero, but its reported p-value is not statistically significant at conventional levels. The output therefore does not provide strong evidence that the leverage term differs from zero.

The document is a question rather than a full explanation of APGARCH parameterization. The interpretation of gamma’s direction can depend on the model’s precise specification and sign convention, which are not supplied here. The table alone also does not establish whether the model is well specified or whether a leverage effect might be detectable under another specification or sample.

Key ideas

• The reported gamma estimate is negative, but its p-value does not indicate statistical significance.
• The table alone does not establish a significant leverage effect in this fitted model.
• Interpreting gamma’s sign requires knowing the APGARCH specification and its sign convention.

Tags

# What does negative gamma mean in APGARCH model?


# What does negative gamma mean in APGARCH model?












I got a gamma of -0.1321677.

```
Error Analysis:
        Estimate  Std. Error  t value Pr(>|t|)    
mu      0.005979    0.007523    0.795 0.426751    
omega   0.028640    0.003130    9.149  < 2e-16 ***
alpha1  0.111942    0.029809    3.755 0.000173 ***
gamma1 -0.132168    0.161835   -0.817 0.414111    
beta1   0.561755    0.053081   10.583  < 2e-16 ***
delta   2.000000    0.189719   10.542  < 2e-16 ***
```

Can someone explain please? Is the leverage effect significant?

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