This paper contains a brief survey of nonlinear models of autoregressive conditional heteroskedasticity. The models in question are parametric nonlinear extensions of the original model by Engle (1982). After presenting the individual models, linearity testing and parameter estimation are...

The aim of this study is to investigate the asymmetric responses in volatility between positive and negative shocks in Turkish stock market. The daily closing values of Istanbul Stock Exchange 100 Index (ISE-100), cover the period from January 02, 1990 to December 29, 2004, are analyzed by using...

The aim of this study is to investigate the asymmetric responses in volatility between positive and negative shocks in Turkish stock market. The daily closing values of Istanbul Stock Exchange 100 Index (ISE-100), cover the period from January 02, 1990 to December 29, 2004, are analyzed by using...

Volatility models have been playing an important role in economics and finance. Using a multivariate generalized spectral approach, we propose a new class of generally applicable omnibus tests for univariate and multivariate volatility models. Both GARCH models and stochastic volatility models...