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GARCH model with cross-sectional volatility : GARCHX models
Hwang, Soosung; Satchell, Stephen - In: Applied financial economics 15 (2005) 3, pp. 203-216
Persistent link: https://www.econbiz.de/10002598953
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Implied volatility forecasting : a comparison of different procedures including fractionally integrated models with applications to UK equity options
Hwang, Soosung; Satchell, Stephen - In: Forecasting volatility in the financial markets, (pp. 249-277). 2007
Persistent link: https://www.econbiz.de/10003872982
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Small sample properties of GARCH estimates and persistence
Hwang, Soosung; Pereira, Pedro L. Valls - In: The European journal of finance 12 (2006) 6/7, pp. 473-494
Persistent link: https://www.econbiz.de/10003382813
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The Effects of Structural Breaks in ARCH and GARCH Parameters on Persistence of GARCH Models
Hwang, Soosung; Valls Pereira, Pedro L. - 2009
We show that persistence of conditional volatility in large samples could be exaggerated by the existence of structural breaks in the ARCH and GARCH parameters. Our results suggest that extreme persistence frequently observed in index volatility does not necessarily indicate the same level of...
Persistent link: https://www.econbiz.de/10014214849
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The Effects of Structural Breaks in Arch and GARCH Parameters on Persistence of GARCH Models
Hwang, Soosung; Valls Pereira, Pedro L. - 2004
We show that persistence of conditional volatility in large samples could be exaggerated by the existence of structural breaks in the ARCH and GARCH parameters. Our results suggest that extreme persistence frequently observed in index volatility does not necessarily indicate the same level of...
Persistent link: https://www.econbiz.de/10014068444