McCulloch, J. Huston - Society for Computational Economics - SCE - 2006
The Local Scale Model of Shephard (1994) is a state-space model of volatility clustering similar in effect to IGARCH … experience, with degrees of freedom that grow to a finite bound. The present paper improves on the Shephard model by assigning … classical Local Level Model, rather than being constant throughout as in traditional IGARCH (McCulloch 1985; Engle and …