Search Results - subject:"IGARCH"

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The Great Moderation and the Relationship between Output Growth and Its Volatility

Fang, WenSho; Miller, Stephen M. - 2007

This study examines the effect of the Great Moderation on the relationship between U.S. output growth and its volatility over the period 1947 to 2006. First, we consider the possible effects of structural change in the volatility process. In so doing, we employ GARCH-M and ARCH-M specifications...

Persistent link: https://www.econbiz.de/10009430115

Cross-Country Evidence on Output Growth Volatility: Nonstationary Variance and GARCH Models

Fang, WenShwo; Miller, Stephen M.; Lee, ChunShen - 2007

the break in the variance equation of output for the four countries. That is, the integrated GARCH (IGARCH) effect proves …

Persistent link: https://www.econbiz.de/10009430121

The IGARCH e®ect: Consequences on volatility forecasting and option trading

HERZEL, Stefano; STARICA, Catalin; NORD, Thomas - Dipartimento di Economia, Università degli Studi di Perugia - 2007

This paper studies the integrated Garch (IGARCH) e®ect, a phenomenon often encountered when estimating conditional auto … trading and hedging options. We show that a strong IGARCH e®ect may have relevant consequences on trading and on risk …

Persistent link: https://www.econbiz.de/10005649732

Learning about Stock Volatility: The Local Scale Model with Homoskedastic Innovations

McCulloch, J. Huston - Society for Computational Economics - SCE - 2006

The Local Scale Model of Shephard (1994) is a state-space model of volatility clustering similar in effect to IGARCH … mechanically determined by them. It has one fewer parameter to estimate than IGARCH, and a closed form likelihood. Although the … classical Local Level Model, rather than being constant throughout as in traditional IGARCH (McCulloch 1985; Engle and …

Persistent link: https://www.econbiz.de/10005342861

Power monotonicity in detecting volatility levels change

Xu, Ke-Li - In: Economics Letters 121 (2013) 1, pp. 64-69

We show that the CUSUM and LM tests for structural change in the volatility process enjoy monotonic power. The framework is general including many recently proposed non-stationary GARCH-type models. The result is in contrast to the well-known issue of non-monotonic power for the CUSUM-based...

Persistent link: https://www.econbiz.de/10010702780

Power monotonicity in detecting volatility levels change

Xu, Ke-li - In: Economics letters 121 (2013) 1, pp. 64-69

Persistent link: https://www.econbiz.de/10010187087

Output Growth and Its Volatility: The Gold Standard through the Great Moderation

Fang, WenShwo; Miller, Stephen M. - Department of Economics, University of Nevada-Las Vegas - 2012

This study examines the relationship between U.S. output growth and its volatility over the period 1875:Q1 to 2008:Q2. We examine the data for outliers and apply corrections when found. Next, we search for possible effects of structural breaks in the growth rate and its volatility. In so doing,...

Persistent link: https://www.econbiz.de/10010826389

Output Growth and Its Volatility: The Gold Standard through the Great Moderation

Fang, WenShwo; Miller, Stephen M. - Department of Economics, University of Connecticut - 2012

Persistent link: https://www.econbiz.de/10010888330

Time-varying correlation between stock market returns and real estate returns

Heaney, Richard; Sriananthakumar, Sivagowry - In: Journal of Empirical Finance 19 (2012) 4, pp. 583-594

Direct investment in commercial or residential real estate is found to provide valuable diversification benefits for Australian investors though this is not so evident for indirect real estate investment vehicles like listed Australian real estate investment trusts (A-REIT). Further,...

Persistent link: https://www.econbiz.de/10010942992

Common persistence in conditional variance: A reconsideration

Li, Chang-Shuai - In: Economic Modelling 29 (2012) 5, pp. 1809-1819

This paper demonstrates the flaws of co-persistence theory proposed by Bollerslev and Engle (1993) which cause the theory can hardly be applied. With the introduction of the half-life of decay coefficient as the measure of the persistence, and both the weak definition of persistence and...

Persistent link: https://www.econbiz.de/10010597530