Modelling volatility by variance decomposition
In this paper, we propose two parametric alternatives to the standard GARCH model. They allow the variance of the model to have a smooth time-varying structure of either additive or multiplicative type. The suggested parameterisations describe both nonlinearity and structural change in the condition...
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| Formato: | workingPaper |
| Idioma: | eng |
| Publicado em: |
2011
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| Texto completo: | http://hdl.handle.net/1822/11660 |
| País: | Portugal |
| Oai: | oai:repositorium.sdum.uminho.pt:1822/11660 |