Muhammad, Altaf; Shuguang, Zhang - In: Romanian Statistical Review 63 (2015) 1, pp. 57-70
In this study we examined the effect of structural break points in conditional volatility on variance persistency of … asymmetric GARCH models. We used Bai and Perron methodology to detect structural break points in conditional variance of daily … consider these sudden break points. Moreover by comparing these two models we concluded that T-GARCH model reduces persistency …