Amado, Cristina; Teräsvirta, Timo - In: Journal of Econometrics 175 (2013) 2, pp. 142-153
In this paper, we propose two parametric alternatives to the standard GJR-GARCH model of Glosten et al. (1993), based on additive and multiplicative decompositions of the variance. They allow the variance of the model to have a smooth time-varying structure. The suggested parameterizations...
