ESTIMATION OF GARCH PROCESS IN THE PRESENCE OF STRUCTURAL-CHANGE

被引：10

作者：

SIMONATO, JG

机构：

[1] McGill University, Montreal, Que.

来源：

ECONOMICS LETTERS | 1992年 / 40卷 / 02期

关键词：

D O I：

10.1016/0165-1765(92)90215-K

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper blends the switching regression model of Goldfeld and Quandt (1973) with the GARCH model of Bollerslev (1987) in order to estimate and test for the significance of GARCH parameters in the presence of structural breaks. The GARCH parameter values, the switch date at which one regime supersedes another and the gradualness of each regime switch are all determined endogenously.

引用

页码：155 / 158

页数：4

共 5 条

[1] MODELING THE COHERENCE IN SHORT-RUN NOMINAL EXCHANGE-RATES - A MULTIVARIATE GENERALIZED ARCH MODEL [J].