Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/175973
Authors: 
Medeiros, Marcelo C.
Veiga, Alvaro
Year of Publication: 
2004
Series/Report no.: 
Texto para discussão 486
Abstract: 
In this paper a flexible GARCH-type model is developed with the aim of describing sign and size asymmetries in financial volatility as well as intermittent dynamics and excess of kurtosis. A sufficient condition for strict stationarity and ergodicity of the model is established and the existence of the second- and fourth-order moments is discussed. It is shown that the model may have explosive regimes and still be strictly stationary and ergodic. Furthermore, estimation of the parameters is carefully addressed and the asymptotic properties of the quasi-maximum likelihood estimator is derived. A modeling cycle based on a sequence of simple and easily implemented Lagrange multiplier tests is discussed in order to avoid the estimation of unidentified models. A Monte-Carlo experiment is designed to evaluate the methodology. Empirical examples are used to illustrate the use of the model in practical situations.
Subjects: 
Volatility
GARCH models
multiple regimes
nonlinear time series
smooth transition
finance
asymmetry
leverage effect
excess of kurtosis.
Document Type: 
Working Paper
Social Media Mentions:

Files in This Item:
File
Size
906.26 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.