Non‐linear GARCH models for highly persistent volatility
نویسندگان
چکیده
منابع مشابه
Nonlinear GARCH Models for Highly Persistent Volatility
In this paper we study a new class of nonlinear GARCH models. Special interest is devoted to models that are similar to previously introduced smooth transition GARCH models except for the novel feature that a lagged value of conditional variance is used as the transition variable. This choice of the transition variable is mainly motivated by the desire to find useful models for highly persisten...
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In this paper we study a new class of nonlinear GARCH models. Special interest is devoted to models that are similar to previously introduced smooth transition GARCH models except for the novel feature that a lagged value of conditional variance is used as the transition variable. This choice of the transition variable is mainly motivated by the desire to find useful models for highly persisten...
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ژورنال
عنوان ژورنال: The Econometrics Journal
سال: 2005
ISSN: 1368-4221,1368-423X
DOI: 10.1111/j.1368-423x.2005.00163.x