Search Results - subject:"IGARCH"

Did you mean: subject:"garch" (16,066 results)

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

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

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

Persistent link: https://www.econbiz.de/10009615660

Common persistence in conditional variance : a reconsideration

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

Persistent link: https://www.econbiz.de/10009667096

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

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

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

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