Sarno, Lucio (contributor); Thornton, Daniel L. (contributor) - 2002 - [Elektronische Ressource]
distributed (i.i.d.) innovations with zero mean and unit
variance. The conditional variance
2
t
σ is modeled in the spirit of … variances and
current FF rate changes, both sign and magnitude of the innovations are taken into account.
Another univariate … across regimes. In this model, the variance of the innovations
t
ω is time-varying but, unlike for the EGARCH, the …