Volatility asymmetry in functional threshold GARCH model (Q5111779)
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scientific article; zbMATH DE number 7205082
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| English | Volatility asymmetry in functional threshold GARCH model |
scientific article; zbMATH DE number 7205082 |
Statements
Volatility asymmetry in functional threshold GARCH model (English)
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27 May 2020
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functional time series
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threshold GARCH
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asymmetry
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volatility
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news impact curve (NIC)
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0.7550099492073059
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0.7534561157226562
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0.7222405076026917
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0.7209339737892151
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0.7110791206359863
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