Showing 1 - 10 of 11
Persistent link: https://www.econbiz.de/10000892121
Persistent link: https://www.econbiz.de/10000915963
This paper explains why a two-component GARCH model as proposed by Ding and Granger (1996) or Engle and Lee (1999) can be an ideal alternative model for practitioners in modeling stock return volatility. I show that the two-component GARCH model can easily capture the slow hyperbolic decay of...
Persistent link: https://www.econbiz.de/10012905125
Persistent link: https://www.econbiz.de/10001858207
Persistent link: https://www.econbiz.de/10001709310
Persistent link: https://www.econbiz.de/10001504616
Persistent link: https://www.econbiz.de/10001395202
Persistent link: https://www.econbiz.de/10001783912
Persistent link: https://www.econbiz.de/10001711705
Many standard structural models in economics have the property that they induce persistent, partially predictable heteroskedasticity ("volatility clustering") in their key dependent variables, even when their underlying stochastic shock variables are all serially independent and homoskedastic,...
Persistent link: https://www.econbiz.de/10014105676