Contemporaneous Asymmetry in Garch Processes.

The paper proposes an original class of conditionally heteroskedastic models aimed to capture contemporaneous asymmetry. Not only past up and down moves of stock market returns have different impacts on the conditional variance, but also, positive and negative changes are governed by different (asymmetric) conditional variances. We give a formal content to asymmetry in a GARCH framework.

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Year of publication:	1997
Authors:	El Babsiri, M. ; Zakoian, J.M.
Subject:	ECONOMETRICS \| TIME SERIES

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Type of publication:	Book / Working Paper
Notes:	52 pages
Classification:	C10 - Econometric and Statistical Methods: General. General ; C13 - Estimation ; C30 - Econometric Methods: Multiple/Simultaneous Equation Models. General ; C32 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005641183