All in the Family
نویسندگان
چکیده
This paper develops a parametric family of models of generalized autoregressive heteroscedasticity (garch). The family nests the most popular symmetric and asymmetric garch models, thereby highlighting the relation between the models and their treatment of asymmetry. Furthermore, the structure permits nested tests of different types of asymmetry and functional forms. U.S. stock return data reject all standard garch models in favor of a model in which, roughly speaking, the conditional standard deviation depends on the shifted absolute value of the shocks raised to the power three halves and past standard deviations.
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