Random coefficient volatility models

A. Thavaneswaran, S. Peiris and S. Appadoo

Statistics & Probability Letters, 2008, vol. 78, issue 6, 582-593

Abstract: In financial modeling, the moments of the observed process, the kurtosis and the moments of the conditional volatility play important roles. They are very important in model identification and in forecasting the volatility (see Thavaneswaran et al. [(2005b). Forecasting volatility. Statist. Probab. Lett. 75, 1-10.]). This paper introduces random coefficient GARCH models including the class random coefficient GARCH (RC-GARCH) models and derive their higher order moments and kurtosis.

Keywords: Stochastic; volatility; Random; coefficient; Kurtosis; Sign-switching (search for similar items in EconPapers)
Date: 2008
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