BOUADDI, Mohammed; ROMBOUTS, Jeroen V.K. - Center for Operations Research and Econometrics (CORE), … - 2007
include the asymmetry effect on the component variances hn,t. The effect of negative
shocks on volatility is captured by δn … 2: In sample fit (models without asymmetry effect)
Model n-par Loglik BIC ρmax(M11) ρmax(M22)
MN(1) 6 48722.71 -97388 0 …
moments. Regarding the values of the BIC, the models with asymmetry effect dominate their
counterparts in Table 2.
Table 3: In …