THRESHOLD HETEROSKEDASTIC MODELS

被引：1078

作者：

ZAKOIAN, JM ^{[1
]}

机构：

[1] UNIV LILLE,LILLE,FRANCE

来源：

JOURNAL OF ECONOMIC DYNAMICS & CONTROL | 1994年 / 18卷 / 05期

关键词：

GARCH MODELS; ASYMMETRIES IN VOLATILITY; STATIONARITY;

D O I：

10.1016/0165-1889(94)90039-6

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

In this paper we consider a modification of the classical ARCH models introduced by Engle (1982). In this modified model the conditional standard deviation is a piecewise linear function of past values of the white noise. This specific form allows different reactions of the volatility to different signs of the lagged errors. Stationarity conditions are derived. Maximum likelihood and least squares estimation are also considered. Finally an empirical example relating to the French CAC stock index is presented and several specifications are compared.

引用

页码：931 / 955

页数：25

共 23 条

[1]

Abramowitz M., 1964, HDB MATH FUNCTIONS

[2]

BERNDT EK, 1974, ANN ECON SOC MEAS, V3, P653

[3] GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY [J].