An asymmetric multivariate generalization of the recently proposed class of normal mixture GARCH models is developed. Issues of parametrization and estimation are discussed. Conditions for covariance stationarity and the existence of the fourth moment are derived, and expressions for the dynamic...

The class of mixed normal conditional heteroskedastic (MixN-GARCH) models, which couples a mixed normal distributional structure with GARCH-type dynamics, has been shown to offer a plausible decomposition of the contributions to volatility, as well as excellent out-of-sample forecasting...

Many authors have observed what is known as the Taylor property, namely that the time series dependencies of financial volatility as measured by the autocorrelation function of power-transformed absolute returns are stronger for absolute stock returns than for the squares. In this note, we...

The goal of this paper is to illuminate the capability of the component GARCH model of Ding and Granger (1996) and Engle and Lee (1999) to reproduce the long memory-type behavior of financial volatility. The potential of this model to capture the long memory dynamics observed in measures of...