Contemporaneous Asymmetry in Weak Garch Processes.

The paper proposes an original class of conditionally heteroskedastic models aimed to capture a new concept of 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) volatilities.

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Year of publication:	1996
Authors:	El Babsiri, M. ; Zakoian, J.M.
Institutions:	Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain
Subject:	MATHEMATICS \| MODELS \| STOCK MARKET

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Series:	Papers.
Type of publication:	Book / Working Paper
Notes:	44 pages
Classification:	C00 - Mathematical and Quantitative Methods. General ; G10 - General Financial Markets. General ; G19 - General Financial Markets. Other
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005669219