A Smooth Transition GARCH Model with Asymmetric Transition Phases
نویسندگان
چکیده
This paper develops a smooth transition GARCH model with an asymmetric transition function, which allows for an asymmetric response of volatility to the size and sign of shocks, and an asymmetric transition dynamics for positive and negative shocks. We apply our model to the empirical financial data: the NASDAQ index and the individual stock IBM daily returns. The empirical evidence shows that our model outperforms many existing GARCH specifications.
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تاریخ انتشار 2011