Asymmetric GARCH processes featuring both threshold effect and bilinear structure

A class of asymmetric GARCH models is proposed by combining threshold effect and bilinear structure. The class is referred to as threshold-bilinear GARCH processes. A simulation study demonstrates that the class exhibits diverse asymmetries in volatilities, accommodating existing asymmetric models. Stationarity and existence of moments are discussed. Applications to Korean stock prices are illustrated.

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Year of publication:	2012
Authors:	Choi, M.S. ; Park, J.A. ; Hwang, S.Y.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 82.2012, 3, p. 419-426
Publisher:	Elsevier
Subject:	Asymmetric volatility \| Bilinear GARCH \| Threshold GARCH

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010571768