A Component GARCH Model With Time Varying Weights
نویسندگان
چکیده
منابع مشابه
Département des Sciences Économiques de l'Université catholique de Louvain A Component GARCH Model with Time Varying Weights
We present a novel GARCH model that accounts for time varying, state dependent, persistence in the volatility dynamics. The proposed model generalizes the component GARCH model of Ding and Granger (1996). The volatility is modelled as a convex combination of unobserved GARCH components where the combination weights are time varying as a function of appropriately chosen state variables. In order...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2007
ISSN: 1556-5068
DOI: 10.2139/ssrn.1006754