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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| Formato: | article |
| Idioma: | eng |
| Publicado em: |
2013
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| Texto completo: | http://hdl.handle.net/1822/25121 |
| País: | Portugal |
| Oai: | oai:repositorium.sdum.uminho.pt:1822/25121 |