Kao, Lie-Jane; Wu, Po-Cheng; Lee, Cheng-Few - In: International Review of Economics & Finance 21 (2012) 1, pp. 115-129
and parsimonious model, the VG NGARCH model. Being an extension of the variance-gamma model developed by Madan, Carr, and … Chang (1998), the proposed VG NGARCH model imposes an autoregressive structure on the conditional shape parameters, which … for the occurrences of large price movements. The performance of the proposed VG NGARCH model is compared with that of the …
