Specification and testing of multiplicative time-varying GARCH models with applications

In this article, we develop a specification technique for building multiplicative time-varying GARCH models of Amado and Teräsvirta (2008, 2013). The variance is decomposed into an unconditional and a conditional component such that the unconditional variance component is allowed to evolve smoothly...

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Bibliographic Details
Main Author: Amado, Cristina (author)
Other Authors: Teräsvirta, Timo (author)
Format: article
Language:eng
Published: 2017
Subjects:
Conditional heteroskedasticity
Misspecification testing
Modelling volatility
Nonlinear model building
Time-varying parameter model
C12
C22
C51
C52
Social Sciences
Science & Technology
Online Access:http://hdl.handle.net/1822/40085
Country:Portugal
Oai:oai:repositorium.sdum.uminho.pt:1822/40085

Internet

http://hdl.handle.net/1822/40085

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