Kaufmann, Sylvia; Scheicher, Martin - In: Studies in Nonlinear Dynamics & Econometrics 10 (2007) 4, pp. 1290-1290
This paper estimates a switching autoregressive conditional heteroskedastic time series model for returns on the daily German stock market index. Volatility clustering is captured by persistent periods of different volatility levels and by the dependence on past innovations. We introduce a...
