In this paper we study new nonlinear GARCH models mainly designed for time series with highly persistent volatility. For such series, conventional GARCH models have often proved unsatisfactory because they tend to exaggerate volatility persistence and exhibit poor forecasting ability. Our main...

In this paper we study new nonlinear GARCH models mainly designed for time series with highly persistent volatility. For such series, conventional GARCH models have often proved unsatisfactory because they tend to exaggerate volatility persistence and exhibit poor forecasting ability. Our main...

According to several empirical studies, US inflation and nominal interest rates, as well as the real interest rate, can be described as unit root processes. These results imply that nominal interest rates and expected inflation do not move one-for-one in the long run, which is not consistent...