. Although the model seems to generate long-memory properties of the volatility series, we show that this is due to the switching …

We present a novel GARCH model that accounts for time varying, state dependent, persistence in the volatility dynamics …. The proposed model generalizes the component GARCH model of Ding and Granger (1996). The volatility is modelled as a …

question whether the assumption of stationarity is appropriate to model volatility processes. Early econometric studies have … volatility time series. The approaches that are summarized in this discussion paper propose various specification for this time …

volatility through time. The advocated methodology avoids typical orthogonalization and ordering problems. Theoretical properties … of volatility impulse response functions are derived and compared with conditional moment profiles introduced by Gallant … use volatility impulse response functions to compare alternative parametric volatility specifications. It is shown that …

/Dollar return volatility. We highlight and analyze the pre-announcement, contemporaneous and postannouncement reactions. Using high …-frequency intraday data and within the framework of ARCH-type and realized volatility models, we show that volatility increases in the … volatility as expected by the theoretical literature on order flow. …

change over time. Applications to the U.S. GDP growth and the DJIA realized volatility highlight the relevance of estimating …

Dynamic volatility and correlation models with fixed parameters are restrictive for time series subject to breaks …