刊名:Physica A: Statistical Mechanics and its Applications
出版年:2017
出版时间:1 May 2017
年:2017
卷:473
期:Complete
页码:451-460
全文大小:463 K
卷排序:473
文摘
A new ARCH-type model that uses a rational function is proposed. The new model is designed to capture the asymmetric volatility response. The new model can be used as an alternative asymmetric ARCH-type model. News impact curves of several asymmetric GARCH models are compared.