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Smooth-Transition GARCH Models
Gloria González-Rivera - In: Studies in Nonlinear Dynamics & Econometrics 3 (1998) 2, pp. 61-78
threshold specifications that allow only two possible regimes: low or high volatility. In this paper, the possibility of … intermediate regimes is considered and modeled with the introduction of a smooth-transition mechanism in a GARCH specification. One … power. A smooth-transition GARCH specification is tested and estimated with stock returns and exchange-rate data. While a …
Persistent link: https://www.econbiz.de/10005046473
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Smooth-Transition GARCH Models
González-Rivera, Gloria - In: Studies in Nonlinear Dynamics & Econometrics 3 (2007) 2, pp. 61-78
threshold specifications that allow only two possible regimes: low or high volatility. In this paper, the possibility of … intermediate regimes is considered and modeled with the introduction of a smooth-transition mechanism in a GARCH specification. One … power. A smooth-transition GARCH specification is tested and estimated with stock returns and exchange-rate data. While a …
Persistent link: https://www.econbiz.de/10004966180
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Modeling and Forecasting S&P 500 Volatility: Long Memory, Structural Breaks and Nonlinearity
Martens, Martin; van Dijk, Dick; de Pooter, Michiel - 2004
The sum of squared intraday returns provides an unbiased and almost error-free measure of ex-post volatility. In this paper we develop a nonlinear Autoregressive Fractionally Integrated Moving Average (ARFIMA) model for realized volatility, which accommodates level shifts, day-of-the-week...
Persistent link: https://www.econbiz.de/10010325218
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Modeling multiple regimes in financial volatility with a flexible coefficient GARCH model
Medeiros, Marcelo C.; Veiga, Alvaro - 2004
In this paper a flexible GARCH-type model is developed with the aim of describing sign and size asymmetries in …
Persistent link: https://www.econbiz.de/10011807314
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Modeling and Forecasting S&P 500 Volatility: Long Memory, Structural Breaks and Nonlinearity
Martens, Martin; Dijk, Dick van; Pooter, Michiel de - Tinbergen Instituut - 2004
This discussion paper resulted in a publication in the 'International Journal of Forecasting', 2009, 27, 282-303.<P> The sum of squared intraday returns provides an unbiased and almost error-free measure of ex-post volatility. In this paper we develop a nonlinear Autoregressive Fractionally...</p>
Persistent link: https://www.econbiz.de/10011257135
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Modelling multiple regimes in financial volatility with a flexible coefficient GARCH model
Medeiros, Marcelo Cunha; Veiga, Alvaro - Departamento de Economia, Pontifícia Universidade … - 2004
In this paper a flexible GARCH-type model is developed with the aim of describing sign and size asymmetries in …
Persistent link: https://www.econbiz.de/10005744709
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Modeling and Forecasting S&P 500 Volatility: Long Memory, Structural Breaks and Nonlinearity
Martens, Martin; Dijk, Dick van; Pooter, Michiel de - Tinbergen Institute - 2004
The sum of squared intraday returns provides an unbiased and almost error-free measure of ex-post volatility. In this paper we develop a nonlinear Autoregressive Fractionally Integrated Moving Average (ARFIMA) model for realized volatility, which accommodates level shifts, day-of-the-week...
Persistent link: https://www.econbiz.de/10005137234
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Modeling and forecasting S&P 500 volatility : long memory, structural breaks and nonlinearity
Martens, Martin; Dijk, Dick van; Pooter, Michiel de - 2004
The sum of squared intraday returns provides an unbiased and almost error-free measure of ex-post volatility. In this paper we develop a nonlinear Autoregressive Fractionally Integrated Moving Average (ARFIMA) model for realized volatility, which accommodates level shifts, day-of-the-week...
Persistent link: https://www.econbiz.de/10011335205
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Asymmetry in Stochastic Volatility Models: Threshold or Correlation?
Smith, Daniel - In: Studies in Nonlinear Dynamics & Econometrics 13 (2009) 3, pp. 1540-1540
We compare the ability of correlation and threshold effects in a stochastic volatility model to capture the asymmetric … correlation does a better job of capturing asymmetry than a threshold stochastic volatility model even though it has fewer … parameters. We develop a stochastic volatility model that includes both threshold effects and correlated innovations. We find …
Persistent link: https://www.econbiz.de/10005046515
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Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis
Hafner, Christian M.; Herwartz, Helmut - 1999
Daily returns of financial assets are frequently found to exhibit positive autocorrelation at lag 1. When specifying a linear AR(l) conditional mean, one may ask how this predictability affects option prices. We investigate the dependence of option prices on autoregressive dynamics under...
Persistent link: https://www.econbiz.de/10010310007