Asymmetric GARCH processes featuring both threshold effect and bilinear structure

M.S. Choi, J.A. Park and S.Y. Hwang

Statistics & Probability Letters, 2012, vol. 82, issue 3, 419-426

Abstract: A class of asymmetric GARCH models is proposed by combining threshold effect and bilinear structure. The class is referred to as threshold-bilinear GARCH processes. A simulation study demonstrates that the class exhibits diverse asymmetries in volatilities, accommodating existing asymmetric models. Stationarity and existence of moments are discussed. Applications to Korean stock prices are illustrated.

Keywords: Asymmetric volatility; Bilinear GARCH; Threshold GARCH (search for similar items in EconPapers)
Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167715211003774
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:82:y:2012:i:3:p:419-426

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

DOI: 10.1016/j.spl.2011.11.023

Access Statistics for this article

Statistics & Probability Letters is currently edited by Somnath Datta and Hira L. Koul

More articles in Statistics & Probability Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().