Amado, Cristina; Teräsvirta, Timo - Núcleo de Investigação em Políticas Económicas … - 2011
In this paper, we propose two parametric alternatives to the standard GARCH model. They allow the variance of the model to have a smooth time-varying structure of either additive or multiplicative type. The suggested parameterisations describe both nonlinearity and structural change in the...