Modelling the persistence of conditional variances

DOI10.1080/07474938608800095zbMATH Open0619.62105OpenAlexW2023240121MaRDI QIDQ3756387FDOQ3756387

Authors: Robert F. Engle, Tim Bollerslev 

Publication date: 1986

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474938608800095

Recommendations

• Generalized autoregressive conditional heteroscedasticity
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Autoregressive Conditional Density Estimation
• Fractionally integrated generalized autoregressive conditional heteroskedasticity
• ARCH modeling in finance. A review of the theory and empirical evidence

zbMATH Keywords

GARCHasset pricing theoryautoregressive conditional heteroscedasticityexchange rate determinationconditional kurtosisARCH-type modelsgeneralizing the conditional densityintegrated in variancemodelling conditional variancesmodelling of risk and uncertaintynonlinear conditional heteroscedasticityStudent-\(t\) distribution with unknown degrees of freedomtime aggregated models

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Microeconomic theory (price theory and economic markets) (91B24)

Cites Work

• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Exogeneity
• DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED-RESIDUAL AUTOCORRELATIONS
• Econometric Implications of the Rational Expectations Hypothesis
• ARMA MODELS WITH ARCH ERRORS
• Title not available (Why is that?)
• Rational expectations equilibrium with conditioning on past prices: A mean-variance example

Cited In (only showing first 100 items - show all)

• The persistence in volatility of the US term premium 1970--1986
• On the Transmission of Memory in Garch‐in‐Mean Models
• Fractionally integrated time varying GARCH model
• Qualitative threshold ARCH models
• Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.
• Statistical inference for time-inhomogeneous volatility models.
• The random difference equation \(X_ n = A_ n X_{n-1} + B_ n\) in the critical case
• Nonlinear continuous-discrete filtering using kernel density estimatesand functional integrals
• Rational bubbles. A test
• Neglecting parameter changes in GARCH models
• Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise models
• Estimation and tests for power-transformed and threshold GARCH models
• Autoregressive Conditional Density Estimation
• ON THE SQUARED RESIDUAL AUTOCORRELATIONS IN NON-LINEAR TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITY
• Econometric tests of rationality and market efficiency
• Exploring exchange rate returns at different time horizons
• RENORMING VOLATILITIES IN A FAMILY OF GARCH MODELS
• Modelling long memory and structural breaks in conditional variances: an adaptive FIGARCH approach
• Extremal behaviour of solutions to a stochastic difference equation with applications to ARCH processes
• DIAGNOSTIC CHECKING FOR THE ADEQUACY OF NONLINEAR TIME SERIES MODELS
• Quasi-maximum likelihood estimation for multiple volatility shifts
• Statistical Adequacy and the Testing of Trend Versus Difference Stationarity
• On stationarity and ergodicity of the bilinear model with applications to GARCH models
• Asymptotic nonequivalence of GARCH models and diffusions
• Granger causality in risk and detection of extreme risk spillover between financial markets
• Modeling and pricing long memory in stock market volatility
• Modeling volatility persistence of speculative returns: a new approach
• Prediction of index futures returns and the analysis of financial spillovers-A comparison between GARCH and the grey theorem
• Stationarity of GARCH processes and of some nonnegative time series
• Weak convergence and distributional assumptions for a general class of nonliner arch models
• Can the random walk model be beaten in out-of-sample density forecasts? Evidence from intraday foreign exchange rates
• Stable GARCH models for financial time series
• Analytic Hessian matrices and the computation of FIGARCH estimates
• Stochastic volatility in asset prices. Estimation with simulated maximum likelihood
• Efficient estimation in semiparametric GARCH models
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• On the relation between GARCH and stable processes
• ARCH models as diffusion approximations
• Volatility conditional on price trends
• Filtering and forecasting with misspecified ARCH models I. Getting the right variance with the wrong model
• An Introduction to Univariate GARCH Models
• ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS
• Integrated variance forecasting: model based vs. reduced form
• Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
• Option pricing under stochastic volatility models with latent volatility
• Stability and the Lyapounov exponent of threshold AR-ARCH models
• Testing for ARCH in the presence of a possibly misspecified conditional mean
• Sequential monitoring for changes from stationarity to mild non-stationarity
• A test for volatility spillover with application to exchange rates
• Local scale models. State space alternative to integraded GARCH processes
• Exact predictive densities for linear models with ARCH disturbances
• An algorithm for nonparametric GARCH modelling.
• Level changes in volatility models
• Minimum density power divergence estimator for GARCH models
• Stationarity of stable power-GARCH processes.
• Heteroscedasticity in non-stationary time series, some Monte Carlo evidence
• Near-integrated GARCH sequences
• An option pricing formula for the GARCH diffusion model
• GARCH with omitted persistent covariate
• Estimation of a semiparametric IGARCH(1,1) model
• Temporal aggregation of volatility models
• Modeling stock markets' volatility using GARCH models with normal, Student's \(t\) and stable Paretian distributions
• Long-term equity anticipation securities and stock market volatility dynamics
• A note on geometric ergodicity of autoregressive conditional heteroscedasticity (ARCH) model
• A data-dependent approach to modeling volatility in financial time series
• Entropy and information in portfolio choice
• Covariance stationary GARCH-family models with long memory property
• R-estimation in semiparametric dynamic location-scale models
• On the sample variance of explosive random coefficient autoregressive processes
• On estimation in conditional heteroskedastic time series models under non-normal distribu\-tions
• Using conditional moments of asset payoffs to infer the volatility of intertemporal marginal rates of substitution
• FRACTIONAL COINTEGRATION IN STOCHASTIC VOLATILITY MODELS
• Multiscale local change point detection with applications to value-at-risk
• The ARMA alphabet soup: a tour of ARMA model variants
• Dynamic portfolio management under competing representations
• Stationarity for a Markov-switching Box-Cox transformed threshold GARCH process
• Fractionally integrated generalized autoregressive conditional heteroskedasticity
• Index-option pricing with stochastic volatility and the value of accurate variance forecasts
• Multi-scale tests for serial correlation
• ARCH modeling in finance. A review of the theory and empirical evidence
• Covariance structure selection in general mixed models
• On loss functions and ranking forecasting performances of multivariate volatility models
• Arch model with Box-Cox transformed dependent variable
• Finite-sample theory and bias correction of maximum likelihood estimators in the EGARCH model
• Characterizing heteroskedasticity
• The Effects of Structural Breaks in ARCH and GARCH Parameters on Persistence of GARCH Models
• Tests for volatility shifts in GARCH against long-range dependence
• Stochastic regularization for the mean-variance allocation scheme
• Diagnostic check for heavy tail in linear time series
• When panic makes you blind: a chaotic route to systemic risk
• The dynamics of the relationship between spot and futures markets under high and low variance regimes
• Assessing the value of Hermite densities for predictive distributions
• MEAN–VARIANCE PORTFOLIO MANAGEMENT WITH FUNCTIONAL OPTIMIZATION
• Title not available (Why is that?)
• Genetic modelling of multivariate EGARCHX-processes: evidence on the international asset return signal response mechanism
• Capturing volatility persistence: a dynamically complete realized EGARCH-MIDAS model
• Bayesian modeling and forecasting of value-at-risk via threshold realized volatility
• Liquidity tail risk and credit default swap spreads
• On regression-based tests for persistence in logarithmic volatility models
• Estimating a covariance matrix for market risk management and the case of credit default swaps

This page was built for publication: Modelling the persistence of conditional variances

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3756387)