Výrost, Tomáš; Baumöhl, Eduard - Volkswirtschaftliche Fakultät, … - 2009
The paper deals with estimation of both general GARCH as well as asymmetric EGARCH and TGARCH models, used to model the leverage effect of good news and bad news on market volatility. We estimate the models using daily returns of S&P 500 stock index and describe the news impact curves (NICs) for...
