Dynamic behavior of volatility in a nonstationary generalized regime-switching GARCH model

DOI10.1016/J.SPL.2016.04.002MaRDI QIDQ286453zbMATHOpenAlexFDO

Authors Won-Tak Hong, Eunju Hwang

Publication date 20 May 2016

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2016.04.002

zbMATH Keywords

asymptotic normalityvolatilityregime-switching GARCH model

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

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Cites work

• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Analysis of time series subject to changes in regime
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Autoregressive conditional heteroskedasticity and changes in regime
• ESTIMATION FOR A NONSTATIONARY SEMI-STRONG GARCH(1,1) MODEL WITH HEAVY-TAILED ERRORS
• Establishing conditions for the functional central limit theorem in nonlinear and semiparametric time series processes.
• Generalized autoregressive conditional heteroscedasticity
• Infinite-order, long-memory heterogeneous autoregressive models
• On dynamics of volatilities in nonstationary GARCH models
• Rational-expectations econometric analysis of changes in regime. An investigation of the term structure of interest rates
• Regime switching in foreign exchange rates: Evidence from currency option prices
• The functional central limit theorem and structural change test for the \(\mathrm{HAR}(\infty)\) model
• Theory and inference for a Markov switching GARCH model

Cited in

(9)

• Forecasting Stock Market Volatility with Regime-Switching GARCH Models
• Nonnegative GARCH-type models with conditional Gamma distributions and their applications
• A dynamic Markov regime-switching GARCH model and its cumulative impulse response function
• Modeling the volatility-return trade-off when volatility may be nonstationary
• A dynamic Markov regime-switching asymmetric GARCH model and its cumulative impulse response function
• Non‐linear GARCH models for highly persistent volatility
• On dynamics of volatilities in nonstationary GARCH models
• VOLATILITY ANALYSIS OF REGIME-SWITCHING MODELS
• MODELING MULTIPLE REGIMES IN FINANCIAL VOLATILITY WITH A FLEXIBLE COEFFICIENT GARCH(1,1) MODEL

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