Bauwens, Luc (contributor); Storti, G. (contributor) - 2007
, 2007
Abstract
We present a novel GARCH model that accounts for time varying, state dependent,
persistence in the volatility … dynamics. The proposed model generalizes the component
GARCH model of Ding and Granger (1996). The volatility is modelled as a …&P500.
Keywords: GARCH, persistence, volatility components, value-at-risk, expected short-
fall.
JEL Classiflcation: C11, C …