Modelling volatility by variance decomposition

In this paper, we propose two parametric alternatives to the standard GJR-GARCH model of Glosten et al. (1993), based on additive and multiplicative decompositions of the variance. They allow the variance of the model to have a smooth time-varying structure. The suggested parameterizations describe...

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Bibliographic Details
Main Author: Amado, Cristina (author)
Other Authors: Teräsvirta, Timo (author)
Format: article
Language:eng
Published: 2013
Subjects:
Conditional heteroskedasticity
Nonlinear time series
Maximum likelihood estimation
Iterative algorithm
Time-varying parameter model
Social Sciences
Science & Technology
Online Access:http://hdl.handle.net/1822/25121
Country:Portugal
Oai:oai:repositorium.sdum.uminho.pt:1822/25121

Internet

http://hdl.handle.net/1822/25121

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