superiority of volatility forecast accuracy of the new model over the GJR-GARCH model at all horizons for a subset of the long …

In this paper, we propose two parametric alternatives to the standard GARCH model. They allow the variance of the model … describe both nonlinearity and structural change in the conditional and unconditional variances where the transition between … unconditional and conditional component. A modelling strategy for the time-varying GARCH model based on the multiplicative …

In this paper, we propose two parametric alternatives to the standard GARCH model. They allow the conditional variance … describe both nonlinearity and structural change in the conditional and unconditional variances where the transition between … regimes over time is smooth. A modelling strategy for these new time-varying parameter GARCH models is developed. It relies on …

behavior is the interplay of nonstationarity and nonlinearity. In particular, we show that nonlinearity of the data generating … process can be asymptotically negligible when the error variance is moderate or large (compared to the "amount of nonlinearity … nonlinearity. The theoretical findings of this article explain previous results in the literature obtained by simulation …