McKenzie, M.; Michell, H.; Brooks, R.D.; Faff, R.W. - School of Economics, Finance and Marketing, RMIT University - 1998
A recent addition to the ARCH family of econometric models was introduced by Ding, Granger and Engle (1993) wherein the power term by which the data is transformed was estimated within the model rather than being imposed by the researcher. This paper considers the ability of the Power GARCH...
