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The correct regularity condition and interpretation of asymmetry in EGARCH
Chang, Chia-Lin; McAleer, Michael - 2017
by McAleer and Hafner (2014) to obtain EGARCH. These models can be used to capture asymmetry, which denotes the different …) showed that asymmetry was possible for GJR, but not leverage. McAleer and Hafner showed that leverage was not possible for … EGARCH. Surprisingly, the conditions for asymmetry in EGARCH seem to have been ignored in the literature, or have …
Persistent link: https://www.econbiz.de/10011688332
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A one line derivation of EGARCH
McAleer, Michael; Hafner, Christian M. - In: Econometrics : open access journal 2 (2014) 2, pp. 92-97
) specification. In addition to asymmetry, which captures the different effects on conditional volatility of positive and negative …
Persistent link: https://www.econbiz.de/10010392823
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A one line derivation of EGARCH
McAleer, Michael; Hafner, Christian M. - 2014
) specification. In addition to asymmetry, which captures the different effects on conditional volatility of positive and negative …
Persistent link: https://www.econbiz.de/10010362978
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On the invertibility of EGARCH
Martinet, Guillaume Gaetan; McAleer, Michael - 2014
) specification can capture asymmetry, which refers to the different effects on conditional volatility of positive and negative …
Persistent link: https://www.econbiz.de/10010384390
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On the invertibility of EGARCH(p,q)
Martinet, Guillaume Gaetan; McAleer, Michael - 2015 - Revised version: February 2015
) specification can capture asymmetry, which refers to the different effects on conditional volatility of positive and negative …
Persistent link: https://www.econbiz.de/10010477092
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Multifractional Properties of Stock Indices Decomposed by Filtering Their Pointwise Holder Regularity
Bianchi, Sergio - 2011
We propose a decomposition of financial time series into Gaussian subsequences characterized by a constant Hölder exponent. In (multi)fractal models this condition is equivalent to the subsequences themselves being stationarity. For the different subsequences, we study the scaling of the...
Persistent link: https://www.econbiz.de/10013134120
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Modeling Stock Price Movements : Multifractality or Multifractionality?
Bianchi, Sergio - 2011
The scaling properties of two alternative fractal models recently proposed to characterize the dynamics of stock market prices are compared. The former is the Multifractal Model of Asset Return (MMAR) introduced in 1997 by Mandelbrot, Calvet and Fisher in three companion papers. The latter is...
Persistent link: https://www.econbiz.de/10013122371
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The dynamic relationship between investor attention and stock market volatility : international evidence
Ben El Hadj Said, Imene; Slim, Skander - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-25
This paper investigates the role of investor attention in forecasting realized volatility for fourteen international stock markets, by means of Google Trends data, over the sample period January 2004 through November 2021. We devise an augmented Empirical Similarity model that combines three...
Persistent link: https://www.econbiz.de/10012821063
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Short patches of outliers, ARCH and volatility modeling
Franses, Philip Hans; Dijk, Dick van; Lucas, André - 1998
In this paper we test for (Generalized) AutoRegressive Conditional Heteroskedasticity [(G)ARCH] in daily data on 22 exchange rates and 13 stock market indices using the standard Lagrange Multiplier [LM] test for GARCH and a LM test that is resistant to patches of additive outliers. The data span...
Persistent link: https://www.econbiz.de/10011284080
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An alternative conditional asymmetry specification for stock returns
Brännäs, Kurt; Nordman, Niklas - 2001
The paper advances the log-generalized gamma distribution as a suitable generator of conditional skewness. Based on the NYSE composite daily returns an asMA-asQGARCH model along with skewness dynamics is estimated. The results indicate a skewness that varies between sizeable negative skewness...
Persistent link: https://www.econbiz.de/10011398115