Journal ArticleDOI
Threshold heteroskedastic models
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In this paper, the conditional standard deviation is a piecewise linear function of past values of the white noise, which allows different reactions of the volatility to different signs of the lagged errors.About:
This article is published in Journal of Economic Dynamics and Control.The article was published on 1994-09-01. It has received 2125 citations till now. The article focuses on the topics: Autoregressive conditional heteroskedasticity & Heteroscedasticity.read more
Citations
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Clarifying the dynamics of the relationship between option and stock markets using the threshold vector error correction model
TL;DR: This work examines how the option and stock markets are related when using the threshold vector error correction model (hereinafter referred to as threshold VECM) and investigates the impacts of price transmission mechanisms on stock return means but also the volatilities of returns.
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Asymmetric volatility spillovers: Revisiting the Diebold-Yilmaz (2009) spillover index with realized semivariance
TL;DR: Based on the negative and positive realized semivariances developed in Barndorff-Nielsen et al. as discussed by the authors, they modify the volatility spillover index devised in Diebold and Yilmaz (2009) and apply the modified indices on the 30 US stocks with the highest market capitalization over the period 2004-2011 to study intra-market spillovers.
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Abd dolari / türk li̇rasi dövi̇z kuru volati̇li̇tesi̇ni̇n modellenmesi̇: 2001-2018 dönemi̇
Mustafa Yaman,Ayben Koy +1 more
TL;DR: In this paper, Lirasinin et al. discuss the state of the art in the field of politik problem in Turkey, including the ABD Dolari/TL model and the TARCH(1,1) model.
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20 años de modelos ARCH: una visión de conjunto de las distintas variantes de la familia/20 Years of Arch Modelling: a Survey of Different Models in the Family
TL;DR: In this article, the authors analyze the different technical performances of this sort of Econometrical Models through its history: more than twenty years; offering a comprehensive evolution and pointing out the differences in their specifications and in technical frames.
Journal Article
Asymmetric GARCH Value-at-Risk over MSCI in Financial Crisis
TL;DR: In this paper, the authors used four asymmetric GARCH models, which are GJR-GARCH, NA-GARM, T-Garch, and AV-GARCH, to compare their performance on VaR forecasting to the symmetric GARCH model.
References
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Journal ArticleDOI
Handbook of Mathematical Functions
Journal ArticleDOI
Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation
TL;DR: In this article, a new class of stochastic processes called autoregressive conditional heteroscedastic (ARCH) processes are introduced, which are mean zero, serially uncorrelated processes with nonconstant variances conditional on the past, but constant unconditional variances.
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Generalized autoregressive conditional heteroskedasticity
Tim Bollerslev,Tim Bollerslev +1 more
TL;DR: In this paper, a natural generalization of the ARCH (Autoregressive Conditional Heteroskedastic) process introduced in 1982 to allow for past conditional variances in the current conditional variance equation is proposed.
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Conditional heteroskedasticity in asset returns: a new approach
TL;DR: In this article, an exponential ARCH model is proposed to study volatility changes and the risk premium on the CRSP Value-Weighted Market Index from 1962 to 1987, which is an improvement over the widely-used GARCH model.
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On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks
TL;DR: In this article, a modified GARCH-M model was used to find a negative relation between conditional expected monthly return and conditional variance of monthly return, using seasonal patterns in volatility and nominal interest rates to predict conditional variance.