Employee Profile

Genaro Sucarrat

Associate Professor - Department of Economics


For further information, please see my personal webpage.

Genaro Sucarrat is tenured associate professor of econometrics at the department of economics. He studied economics and politics (Cand.Mag. in economics, politics and philosopy at the University of Oslo, MA in international political economy at the University of Warwick) before obtaining an MA and a PhD in Economics at Universite Catolique de Louvain. After his doctoral studies, he worked a total of four years as a Marie Curie individual fellow and visiting professor in economics at Universidad Carlos III de Madrid, before joining BI Norwegian Business School. In addition, he has spent several research visits at other institutions, including University of Cambridge, University of Oxford, CREST (Paris), Universite de Lille, and Pontificia universidad catolica de Chile.

Sucarrat's research has been published in international peer-reviewed journals like Journal of Financial Econometrics, Journal of Multivariate Analysis, Oxford Bulletin of Economics and Statistics, International Journal of Forecasting, Computational Statistics and Data Analysis, Energy Economics, The European Journal of Finance, Journal of Economic Methodology, Journal of Statistical Software and The R journal. He has also developed several R packages (statistical software), available via the Comprehensive R-Archive Network (CRAN), which has been downloaded more than 200 000 times from the 0-cloud server of RStudio. Since 2010 he has been responsible for a forecasting prize ("Prognoseprisen") of the Norwegian Association of Economists, which is awarded every year to the best forecaster of the Norwegian economy.

Research areas
Econometric modelling and forecasting; computational econometrics; empirical finance and macroeconomics;
research methodology and philosophy

Teaching areas
DRE 7008 Advanced Statistics
MET 3590 Metode og statistisk dataanalyse


Campos-Martins, Susana & Sucarrat, Genaro (2024)

Modeling Nonstationary Financial Volatility with the R Package tvgarch

Journal of Statistical Software, 108(9), s. 1- 38. Doi: 10.18637/jss.v108.i09

Sucarrat, Genaro (2021)

garchx: Flexible and Robust GARCH-X Modeling

The R Journal, 13(1), s. 276- 291. Doi: 10.32614/rj-2021-057 - Full text in research archive

The garchx package provides a user-friendly, fast, flexible, and robust framework for the estimation and inference of GARCH(p, q, r)-X models, where p is the ARCH order, q is the GARCH order, r is the asymmetry or leverage order, and ’X’ indicates that covariates can be included. Quasi Maximum Likelihood (QML) methods ensure estimates are consistent and standard errors valid, even when the standardized innovations are non-normal or dependent, or both. Zero-coefficient restrictions by omission enable parsimonious specifications, and functions to facilitate the non-standard inference associated with zero-restrictions in the null-hypothesis are provided. Finally, in the formal comparisons of precision and speed, the garchx package performs well relative to other prominent GARCH-packages on CRAN.

Francq, Christian & Sucarrat, Genaro (2021)

Volatility Estimation When the Zero-Process is Nonstationary

Journal of business & economic statistics Doi: 10.1080/07350015.2021.1999821 - Full text in research archive

Financial returns are frequently nonstationary due to the nonstationary distribution of zeros. In daily stock returns, for example, the nonstationarity can be due to an upwards trend in liquidity over time, which may lead to a downwards trend in the zero-probability. In intraday returns, the zero-probability may be periodic: It is lower in periods where the opening hours of the main financial centers overlap, and higher otherwise. A nonstationary zero-process invalidates standard estimators of volatility models, since they rely on the assumption that returns are strictly stationary. We propose a GARCH model that accommodates a nonstationary zero-process, derive a zero-adjusted QMLE for the parameters of the model, and prove its consistency and asymptotic normality under mild assumptions. The volatility specification in our model can contain higher order ARCH and GARCH terms, and past zero-indicators as covariates. Simulations verify the asymptotic properties in finite samples, and show that the standard estimator is biased. An empirical study of daily and intradaily returns illustrate our results. They show how a nonstationary zero-process induces time-varying parameters in the conditional variance representation, and that the distribution of zero returns can have a strong impact on volatility predictions.

Sucarrat, Genaro (2021)

Identification of volatility proxies as expectations of squared financial returns

International Journal of Forecasting Doi: 10.1016/j.ijforecast.2021.03.008 - Full text in research archive

Volatility proxies like realised volatility (RV) are extensively used to assess the forecasts of squared financial returns produced by volatility models. But are volatility proxies identified as expectations of the squared return? If not, then the results of these comparisons can be misleading, even if the proxy is unbiased. Here, a tripartite distinction is introduced between strong, semi-strong, and weak identification of a volatility proxy as an expectation of the squared return. The definition implies that semi-strong and weak identification can be studied and corrected for via a multiplicative transformation. Well-known tests can be used to check for identification and bias, and Monte Carlo simulations show that they are well sized and powerful—even in fairly small samples. As an illustration, 12 volatility proxies used in three seminal studies are revisited. Half of the proxies do not satisfy either semi-strong or weak identification, but their corrected transformations do. It is then shown how correcting for identification can change the rankings of volatility forecasts.

Mauritzen, Johannes & Sucarrat, Genaro (2021)

Increasing Or Diversifying Risk?Tail Correlations, Transmission Flows And Prices Across Wind Power Areas

Energy Journal, 43(3), s. 105- 131. Doi: 10.5547/01956574.43.3.jmau - Full text in research archive

Sucarrat, Genaro (2020)

User-Specified General-to-Specific and Indicator Saturation Methods

The R Journal, 12(2), s. 388- 401. Doi: 10.32614/rj-2021-024 - Full text in research archive

Sucarrat, Genaro & Grønneberg, Steffen (2020)

Risk Estimation with a Time-Varying Probability of Zero Returns

Journal of Financial Econometrics, 20(2), s. 278- 309. Doi: 10.1093/jjfinec/nbaa014 - Full text in research archive

The probability of an observed financial return being equal to zero is not necessarily zero, or constant. In ordinary models of financial return, however, e.g. ARCH, SV, GAS and continuous-time models, the zero-probability is zero, constant or both, thus frequently resulting in biased risk estimates (volatility, Value-at-Risk, Expected Shortfall, etc.). We propose a new class of models that allows for a time varying zero-probability that can either be stationary or non-stationary. The new class is the natural generalisation of ordinary models of financial return, so ordinary models are nested and obtained as special cases. The main properties (e.g. volatility, skewness, kurtosis, Value-at-Risk, Expected Shortfall) of the new model class are derived as functions of the assumed volatility and zero-probability specifications, and estimation methods are proposed and illustrated. In a comprehensive study of the stocks at New York Stock Exchange (NYSE) we find extensive evidence of time varying zero-probabilities in daily returns, and an out-of-sample experiment shows that corrected risk estimates can provide significantly better forecasts in a large number of instances.

Gharsallah, Sofian & Sucarrat, Genaro (2020)

Hvor presise er prognosene i Nasjonalbudsjettet?

Samfunnsøkonomen, 134(3), s. 13- 20.

Årlige prognoser av norsk økonomi er av stor viktighet for beslutningstakere. Dette gjelder spesielt stortingspolitikerne som vedtar Statsbudsjettet basert på prognosene i Nasjonalbudsjettet. Disse prognosene utarbeides av Finansdepartementet. I dette studiet evaluerer vi presisjonen til et utvalg prognoser i perioden 1999-2018. Vi finner ingen generell støtte for hypotesen om at prognosene til enkle modeller er mer presise enn de til nasjonalbudsjettet. Videre finner vi at Nasjonalbudsjettets prognoser er: Generelt litt mer presise enn de til enkle modeller, på nivå med prognosene til Norges Bank og SSB, og at de i gjennomsnitt treffer det de sikter på.

Sucarrat, Genaro (2019)

The log-GARCH model via ARMA representations

Chevallier, Julien; Goutte, Stéphane, Guerreiro, David, Saglio, Sophie & Sanhaji, Bilel (red.). Financial mathematics, volatility and covariance modelling

Pretis, Felix; Reade, J James & Sucarrat, Genaro (2018)

Automated General-to-Specific (GETS) Regression Modeling and Indicator Saturation for Outliers and Structural Breaks

Journal of Statistical Software, 86(3), s. 1- 44. Doi: 10.18637/jss.v086.i03 - Full text in research archive

This paper provides an overview of the R package gets, which contains facilities for automated general-to-specific (GETS) modeling of the mean and variance of a regression, and indicator saturation (IS) methods for the detection and modeling of outliers and structural breaks. The mean can be specified as an autoregressive model with covariates (an "AR-X" model), and the variance can be specified as an autoregressive log-variance model with covariates (a "log-ARCH-X" model). The covariates in the two specifications need not be the same, and the classical linear regression model is obtained as a special case when there is no dynamics, and when there are no covariates in the variance equation. The four main functions of the package are arx, getsm, getsv and isat. The first function estimates an AR-X model with log-ARCH-X errors. The second function undertakes GETS modeling of the mean specification of an 'arx' object. The third function undertakes GETS modeling of the log-variance specification of an 'arx' object. The fourth function undertakes GETS modeling of an indicator-saturated mean specification allowing for the detection of outliers and structural breaks. The usage of two convenience functions for export of results to EViews and Stata are illustrated, and LATEX code of the estimation output can readily be generated.

Escribano, Alvaro & Sucarrat, Genaro (2018)

Equation-by-equation estimation of multivariate periodic electricity price volatility

Energy Economics, 74(August), s. 287- 298. Doi: 10.1016/j.eneco.2018.05.017 - Full text in research archive

Electricity prices are characterised by strong autoregressive persistence, periodicity (e.g. intraday, day-of-the week and month-of-the-year effects), large spikes or jumps, GARCH and – as evidenced by recent findings – periodic volatility. We propose a multivariate model of volatility that decomposes volatility multiplicatively into a non-stationary (e.g. periodic) part and a stationary part with log-GARCH dynamics. Since the model belongs to the log-GARCH class, the model is robust to spikes or jumps, allows for a rich variety of volatility dynamics without restrictive positivity constraints, can be estimated equation-by-equation by means of standard methods even in the presence of feedback, and allows for Dynamic Conditional Correlations (DCCs) that can – optionally – be estimated subsequent to the volatilities. We use the model to study the hourly day-ahead system prices at Nord Pool, and find extensive evidence of periodic volatility and volatility feedback. We also find that volatility is characterised by (positive) leverage in one third of the hours, and that a DCC model provides a better fit of the conditional correlations than a Constant Conditional Correlation (CCC) model.

Francq, Christian & Sucarrat, Genaro (2018)

An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation

Journal of Financial Econometrics, 16(1), s. 129- 154. Doi: 10.1093/jjfinec/nbx032

Sucarrat, Genaro & Escribano, Alvaro (2018)

Estimation of log-GARCH models in the presence of zero returns

European Journal of Finance, 24(10), s. 809- 827. Doi: 10.1080/1351847X.2017.1336452

Francq, Christian & Sucarrat, Genaro (2017)

An Equation-by-Equation Estimation of a Multivariate Log-GARCH-X Model of Financial Returns

Journal of Multivariate Analysis, 153, s. 16- 32. Doi: 10.1016/j.jmva.2016.09.010

Sucarrat, Genaro; Grønneberg, Steffen & Escribano, Alvaro (2015)

Estimation and inference in univariate and multivariate log-GARCH-X models when the conditional density is unknown

Computational Statistics & Data Analysis, 100, s. 582- 594. Doi: 10.1016/j.csda.2015.12.005

Harvey, Andrew C. & Sucarrat, Genaro (2013)

EGARCH models with fat tails, skewness and leverage

Computational Statistics & Data Analysis, 76, s. 320- 328. Doi: 10.1016/j.csda.2013.09.022

Sucarrat, Genaro (2013)

betategarch: Simulation, Estimation and Forecasting of First-Order Beta-Skew-t-EGARCH models

The R Journal, 5(2), s. 138- 148. Doi: 10.32614/rj-2013-034

Marin, J. Miguel & Sucarrat, Genaro (2012)

Modelling the skewed exponential power distribution in finance

Perna, Cira & Sibillo, Marilena (red.). Mathematical and statistical methods for actuarial sciences and finance

Marin, J. Miguel & Sucarrat, Genaro (2012)

Financial density selection

European Journal of Finance, 21(13-14), s. 1195- 1213. Doi: 10.1080/1351847X.2012.706906

Sucarrat, Genaro & Escribano, Alvaro (2012)

Automated Model Selection in Finance: General-to-Specific Modelling of the Mean and Volatility Specifications

Oxford Bulletin of Economics and Statistics, 74(5), s. 716- 735. Doi: 10.1111/j.1468-0084.2011.00669.x

Sucarrat, Genaro (2010)

Econometric Reduction Theory and Philosophy

Journal of Economic Methodology, 17(1), s. 53- 75.

Bauwens, Luc & Sucarrat, Genaro (2010)

General-to-specific modelling of exchange rate volatility: A forecast evaluation

International Journal of Forecasting, 26(4), s. 885- 907.

Sucarrat, Genaro (2009)

Forecast Evaluation of Explanatory Models of Financial Variability

Economics, 3(8), s. 1- 33.

Sucarrat, Genaro; Bauwens, Luc & Rime, Dagfinn (2008)

Exchange Rate Volatility and the Mixture of Distribution Hypothesis

Bauwenns, Luc; Pohlmeier, Winfried & Veredas, David (red.). High-Frequency Financial Econometrics

Bauwens, Luc; Rime, Dagfinn & Sucarrat, Genaro (2005)

Exchange Rate Volatility and the Mixture of Distribution Hypothesis

Empirical Economics, 30, s. 889- 911. Doi: 10.1007/s00181-005-0005-x

Sucarrat, Genaro (2017)

Metode og økonometri - en moderne innføring (2. utgave)

[Textbook]. Fagbokforlaget.

Sucarrat, Genaro (2016)

Metode og økonometri - en moderne innføring (1. utgave)

[Textbook]. Fagbokforlaget.

Sucarrat, Genaro (2015)

Metode og økonometri -- en moderne innføring (midlertidig utgave)

[Textbook]. Fagbokforlaget.

Sucarrat, Genaro (2010)

Automated Model Selection in Finance: General-to-Specific Modelling of the Mean, Variance and Density

[Report]. Handelshøyskolen BI.

Sucarrat, Genaro (2010)

The Power Log-GARCH Model

[Academic lecture]. Fibe 2010.

Sucarrat, Genaro (2010)

The Power Log-GARCH Model

[Academic lecture]. International Workshop on Applied Probability.

Sucarrat, Genaro (2010)

The Power Log-GARCH Model

[Academic lecture]. Foro de Finanzas.

Sucarrat, Genaro (2010)

The Power Log-GARCH Model

[Academic lecture]. Computational and Financial Econometrics.

Sucarrat, Genaro (2010)

Financial Density Selection

[Academic lecture]. Mathematical and Statistical Methods for Actuarial Sciences and Finance.

Sucarrat, Genaro (2010)

Automated Model Selection in Finance: General-to-Speci c Modelling of the Mean, Variance and Density

[Academic lecture]. Autometrics User Conference.

Sucarrat, Genaro (2010)

Automated Model Selection in Finance: General-to-Speci c Modelling of the Mean, Variance and Density

[Academic lecture]. Forskermøtet.

Sucarrat, Genaro (2009)

Econometric Reduction Theory and Philosophy

[Popular scientific article]. Medium Econometrische Toepassingen, 17(2), s. 20- 24.

Academic Degrees
Year Academic Department Degree
2006 Université Catolique de Louvain, Belgium Ph.D Dr. Oecon.
2001 Université Catholique de Louvain Master of Arts
1998 University of Warwick Master of Arts
1996 University of Oslo Cand.Mag
Work Experience
Year Employer Job Title
2010 - Present BI Norwegian Business School Associate Professor of Econometrics (tenured)
2009 - 2010 Department of Economics, Universidad Carlos III de Madrid Visiting Professor
2007 - 2009 Department of Economics, Universidad Carlos III de Madrid. Marie Curie Fellow (individual fellowship)
2006 - 2007 Department of Economics, Universidad Carlos III de Madrid Visiting Professor
2006 - 2006 Department of Economics, Universidad Carlos III de Madrid Pre-doctoral researcher
2001 - 2006 Department of Economics and CORE, Université catholique Doctoral Reseacher