Sucarrat, Genaro; Grønneberg, Steffen; Escribano, Alvaro - Volkswirtschaftliche Fakultät, … - 2013
Exponential models of Autoregressive Conditional Heteroscedasticity (ARCH) enable richer dynamics (e.g. contrarian or cyclical), provide greater robustness to jumps and outliers, and guarantee the positivity of volatility. The latter is not guaranteed in ordinary ARCH models, in particular when...