Alfreedi, Ajab A.; Isa, Zaidi; Hassan, Abu - In: Journal of statistical and econometric methods 1 (2012) 1, pp. 43-76
, ICSS-EGARCH, GJR-GARCH, and ICSS-GJR-GARCH).This paper uses the weekly data over the period 2003-2010. The ICSS-EGARCH and … ICSS-GJR-GARCH models take into account the discrete regime shifts in stochastic errors. The finding supports the widely … asymmetric model estimations use normal as well as heavy-tailed conditional densities. -- asymmetric models ; ICSS ; EGARCH ; GJR-GARCH …