Ardia, David; Hoogerheide, Lennart F. - Centre Interuniversitaire sur le Risque, les Politiques … - 2013
We investigate the time-variation of the cross-sectional distribution of asymmetric GARCH model parameters over the S …&P 500 constituents for the period 2000-2012. We find the following results. First, the unconditional variances in the GARCH … unconditional mean that increases. Particularly in the latest financial crisis, the estimated models tend to Integrated GARCH models …