A modified GARCH model with spells of shocks

DOI10.1007/S10690-006-9011-ZzbMATH Open1155.91390OpenAlexW2127895792MaRDI QIDQ853870FDOQ853870

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

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zbMATH Keywords

GARCH modelvolatilitystock marketspells of positive or negative shocks

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Cites Work

• Generalized autoregressive conditional heteroscedasticity
• Fractionally integrated generalized autoregressive conditional heteroskedasticity
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Title not available (Why is that?)
• Modeling and pricing long memory in stock market volatility
• Threshold heteroskedastic models
• Korean currency crisis and regime change: a multivariate GARCH model with Bayesian approach
• Modeling the changing asymmetry of conditional variances

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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