Search Results - subject:"IGARCH"

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Modeling Volatility for the Chinese Equity Markets

Fabozzi, Frank J.; Tunaru, Radu; Wu, Tony - In: Annals of Economics and Finance 5 (2004) 1, pp. 79-92

A series of GARCH models are investigated for the volatility of the Chinese equity data from the Shenzhen and Shanghai markets. There has been empirical evidence of volatility clustering, contrary to findings in previous studies. Each market contains different GARCH models which fit well. The...

Persistent link: https://www.econbiz.de/10009150922

Testing for Changes in the Unconditional Variance of Financial Time Series

Sansó, Andreu; Aragó, Vicent; Carrion, Josep Lluís - Departament d'Economia Aplicada, Facultat de Ciències … - 2003

Inclan and Tiao (1994) proposed a test for the detection of changes of the unconditional variance which has been used in financial time series analysis. In this article we show some serious drawbacks for using this test with this type of data. Specifically, it su.ers important size distortions...

Persistent link: https://www.econbiz.de/10005773037

Medición de la volatilidad en series de tiempo financieras. Una evaluación a la tasa de cambio representativa del mercado (TRM) en Colombia

Robles, Roberto A. Montenegro - In: REVISTA FINANZAS Y POLÍTICA ECONÓMICA (2010)

Existen diferentes métodos para la medición del agrupamiento de la volatilidad en las series financieras, en las cuales el supuesto sobre la distribución del error determina la estructura de la función de log verosimilitud. En este documento se explota la flexibilidad de los modelos ARCH...

Persistent link: https://www.econbiz.de/10009653387

Modeling the Volatility of Real GDP Growth: The Case of Japan Revisited

Fang, WenShwo; Miller, Stephen M. - Department of Economics, University of Nevada-Las Vegas - 2009

Previous studies (e.g., Hamori, 2000; Ho and Tsui, 2003; Fountas et al., 2004) find high volatility persistence of economic growth rates using generalized autoregressive conditional heteroskedasticity (GARCH) specifications. This paper reexamines the Japanese case, using the same approach and showing...

Persistent link: https://www.econbiz.de/10005650183

Optimal Test for Markov Switching GARCH Models

Hu, Liang; Shin, Yongcheol - In: Studies in Nonlinear Dynamics & Econometrics 12 (2008) 3, pp. 1528-1528

volatility of most stock return data are likely to follow an integrated GARCH (IGARCH) process. However, such an extremely high … nonstationary IGARCH process. Though there are a number of studies modelling asymmetry leverage effects and advancing a battery of … test. Furthermore, we consider the case in which the conditional variance follows an IGARCH process under the null whilst …

Persistent link: https://www.econbiz.de/10005246280

Modeling the Volatility of Real GDP Growth: The Case of Japan Revisited

Fang, WenShwo; Miller, Stephen M. - Department of Economics, University of Connecticut - 2008

Persistent link: https://www.econbiz.de/10005746102

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

Miller, Stephen M.; Fang, WenSho - Department of Economics, University of Connecticut - 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/10005838979

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

Miller, Stephen M.; Fang, WenShwo; Lee, ChunShen - Department of Economics, University of Connecticut - 2007

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

Persistent link: https://www.econbiz.de/10005746152

Evidence of non-linearities in the bilateral real exchange rates of the British pound

Asseery, Ahmed - In: International Economic Journal 19 (2005) 1, pp. 63-90

-generation SETAR-IGARCH model seems to be capable of capturing this type of non-linearity, implying that signals in the financial …

Persistent link: https://www.econbiz.de/10005475680

Why does the GARCH(1,1) model fail to provide sensible longer- horizon volatility forecasts?

Starica, Catalin; Herzel, Stefano; Nord, Tomas - EconWPA - 2005

The paper investigates from an empirical perspective aspects related to the occurrence of the IGARCH effect and to its … characterized by more pronounced changes in the unconditional variance display stronger IGARCH effect and pronounced differences …

Persistent link: https://www.econbiz.de/10005119069