Random coefficient mixture (RCM) GARCH models

DOI10.1016/J.MCM.2005.02.004MaRDI QIDQ815363zbMATH OpenOpenAlexFDO

Authors A. Thavaneswaran, S. S. Appadoo, J. Singh

Publication date 16 February 2006

Published in Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.mcm.2005.02.004

zbMATH Keywords

GARCHkurtosisstochastic volatilityvolatility smileasset pricinggeneral GARCH(1, 1) modelleptokurtic

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

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Cites work

• scientific article; zbMATH DE number 3718806 (Why is no real title available?)
• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• ARCH-type bilinear models with double long memory.
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• ESTIMATION FOR NON-LINEAR TIME SERIES MODELS USING ESTIMATING EQUATIONS
• Generalized autoregressive conditional heteroscedasticity
• Kurtosis of GARCH and stochastic volatility models with non-normal innovations
• Moments of Markov switching models
• Prediction via estimating functions
• Properties of moments of a family of GARCH processes
• Random coefficient GARCH models
• TESTING FOR THE RANDOMNESS OF AUTOREGRESSIVE COEFFICIENTS

Cited in

(8)

• Non-linear mixture models for cross-sectional financial log returns
• Random coefficient GARCH models
• Varying Coefficient GARCH Models
• RCA models with GARCH innovations
• Mixed exponential power asymmetric conditional heteroskedasticity
• Stable mixture GARCH models
• Random coefficient autoregressive (RCA) models with nonlinear stochastic volatility innovations
• RCA model with quadratic GARCH innovation distribution

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