Ho, Kin-Yip; Shi, Yanlin; Zhang, Zhaoyong - In: The North American Journal of Economics and Finance 26 (2013) C, pp. 436-456
Conditionally Heteroskedastic (FIGARCH) and the two-state Markov Regime-Switching GARCH (RS-GARCH) models. For most of the DJN 65 … FIGARCH generally outperforms RS-GARCH. … a greater impact on volatility than positive news. Furthermore, the results from the RS-GARCH model indicate that news …
