Mehrara, Mohsen; Abdoli, Ghahreman - In: Iranian Economic Review 10 (2005) 1, pp. 65-83
In this paper various ARCH models and relevant news impact curves including a partially nonparametric (PNP) one are compared and estimated with daily Iran stock return data. Diagnostic tests imply the asymmetry of the volatility response to news. The EGARCH model, which passes all the tests and...