A modified GARCH model with spells of shocks

DOI10.1007/S10690-006-9011-ZMaRDI QIDQ853870zbMATH OpenOpenAlexFDO

Authors Qingfeng Liu, Kimio Morimune

Publication date 17 November 2006

Published in Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10252/3331

zbMATH Keywords

GARCH modelvolatilitystock marketspells of positive or negative shocks

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

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Cites work

• scientific article; zbMATH DE number 3502497 (Why is no real title available?)
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Fractionally integrated generalized autoregressive conditional heteroskedasticity
• Generalized autoregressive conditional heteroscedasticity
• Korean currency crisis and regime change: a multivariate GARCH model with Bayesian approach
• Modeling and pricing long memory in stock market volatility
• Modeling the changing asymmetry of conditional variances
• Threshold heteroskedastic models

Cited in

(3)

• A new estimator method for GARCH models
• GARCH estimation and discrete stock prices: an application to low-priced Australian stocks
• A Skellam GARCH model

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