Rational GARCH model: An empirical test for stock returns

详细信息    查看全文

• 作者：Tetsuya Takaishi ^{tt-taka@hue.ac.jp}
• 关键词：Asymmetric GARCH model ; Leverage effect ; Pad&eacute ; approximants ; Rational approximation ; Deviance information criterion ; News impact curve
• 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.