Search Results - subject:"Unconditional variance"

Finite-sample properties of GARCH models in the presence of time-varying unconditional variance : a simulation story

Old, Oliver - 2020

Persistent link: https://www.econbiz.de/10012149432

Modeling Time-Varying Unconditional Variance by Means of a Free-Knot Spline-GARCH Model

Old, Oliver - 2022

The book addresses the problem of a time-varying unconditional variance of return processes utilizing a spline function … regions where the unconditional variance is not smooth. The results are tested within an extensive simulation study and an …

Persistent link: https://www.econbiz.de/10013327923

Changes in the unconditional variance and autoregressive conditional heteroscedasticity

Peiro, Amado - In: International journal of economics and financial issues … 6 (2016) 4, pp. 1338-1343

Persistent link: https://www.econbiz.de/10011774855

On the Empirical Importance of Periodicity in the Volatility of Financial Returns - Time Varying GARCH as a Second Order APC(2) Process

Mazur, Błażej; Pipień, Mateusz - In: Central European Journal of Economic Modelling and … 4 (2012) 2, pp. 95-116

unconditional variance. The function proposed in this paper can be interpreted as a finite Fourier approximation of an Almost …

Persistent link: https://www.econbiz.de/10010875622

On the empirical importance of periodicity in the volatility of financial time series

Pipień, Mateusz; Mazur, Blazej - Narodowy Bank Polski - 2012

unconditional variance. The function proposed in this paper can be interpreted as a finite Fourier approximation of an Almost …

Persistent link: https://www.econbiz.de/10010583583

Modelling Changes in the Unconditional Variance of Long Stock Return Series

Amado, Cristina; Terasvirta, Timo - Núcleo de Investigação em Políticas Económicas … - 2012

the unconditional variance is allowed to evolve slowly over time. Statistical inference is used for specifying the … unconditional variance. Second, the results show that the long-memory property in volatility may be explained by ignored changes in … the unconditional variance of the long series. Finally, based on a formal statistical test we find evidence of the …

Persistent link: https://www.econbiz.de/10009650247

Modelling Changes in the Unconditional Variance of Long Stock Return Series

Amado, Cristina; Teräsvirta, Timo - School of Economics and Management, University of Aarhus - 2012

Persistent link: https://www.econbiz.de/10009652370

Power of the KPSS test against shift in variance: a further investigation.

Ibrahim, Ahamada; Mohamed, Boutahar - In: Economics Bulletin 32 (2012) 1, pp. 854-865

volatility shift. We provide the asymptotic moments of the statistic under general case of shifts in the unconditional variance …

Persistent link: https://www.econbiz.de/10011278646

Conditional Correlation Models of Autoregressive Conditional Heteroskedasticity with Nonstationary GARCH Equations

Amado, Cristina; Teräsvirta, Timo - Núcleo de Investigação em Políticas Económicas … - 2011

In this paper we investigate the effects of careful modelling the long-run dynamics of the volatilities of stock market returns on the conditional correlation structure. To this end we allow the individual unconditional variances in Conditional Correlation GARCH models to change smoothly over...

Persistent link: https://www.econbiz.de/10009021657

Conditional Correlation Models of Autoregressive Conditional Heteroskedasticity with Nonstationary GARCH Equations

Amado, Cristina; Teräsvirta, Timo - School of Economics and Management, University of Aarhus - 2011

In this paper we investigate the effects of careful modelling the long-run dynamics of the volatil- ities of stock market returns on the conditional correlation structure. To this end we allow the individual unconditional variances in Conditional Correlation GARCH models to change smoothly over...

Persistent link: https://www.econbiz.de/10009148811