Volatility asymmetry in functional threshold GARCH model

DOI10.1111/JTSA.12495MaRDI QIDQ5111779zbMATH OpenOpenAlexWikidataFDO

Authors

Publication date 27 May 2020

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/jtsa.12495

zbMATH Keywords

asymmetryfunctional time seriesvolatilitythreshold GARCHnews impact curve (NIC)

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Economic time series analysis (91B84) Functional data analysis (62R10)

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Cites work

• scientific article; zbMATH DE number 5002302 (Why is no real title available?)
• A data-dependent approach to modeling volatility in financial time series
• A functional version of the ARCH model
• An Exponential Continuous-Time GARCH Process
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Functional generalized autoregressive conditional heteroskedasticity
• Generalized autoregressive conditional heteroscedasticity
• Inference for functional data with applications
• Stationarity and moment structure for Box-Cox transformed threshold GARCH(1,1) processes
• Stationarity of GARCH processes and of some nonnegative time series
• Threshold heteroskedastic models

Cited in

(7)

• An empirical analysis of volatility clustering and asymmetry for the common stocks using FIEGARCH and EGARCH models
• A feasible central limit theorem for realised covariation of SPDEs in the context of functional data
• Nonparametric threshold estimation of spot volatility based on high-frequency data for time-dependent diffusion models with jumps
• Asymmetric volatility impulse response functions
• The asymmetric volatility in the gold market revisited
• Comparing the performances of symmetric and asymmetric generalized autoregressive conditionally heteroscedasticity models based on long-memory models under different distributions
• The asymmetry volatility of return in Chinese equity market based on the structural breaks

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