Quadratic ARCH Models
Enrique Sentana
The Review of Economic Studies, 1995, vol. 62, issue 4, 639-661
Abstract:
We introduce a new model for time-varying conditional variances as the most general quadratic version possible within the ARCH class. Hence, it encompasses all the existing restricted quadratic variance functions. Its properties are very similar to those of GARCH models, but avoids some of their criticisms. In univariate applications to daily U.S. and monthly U.K. stock market returns, QARCH adequately represents volatility and risk premia. QARCH is easy to incorporate in multivariate models to capture dynamic asymmetries that GARCH rules out. Such asymmetries are found in an empirical application of a conditional factor model to 26 U.K. sectorial stock returns.
Date: 1995
References: Add references at CitEc
Citations: View citations in EconPapers (253)
Downloads: (external link)
http://hdl.handle.net/10.2307/2298081 (application/pdf)
Access to full text is restricted to subscribers.
Related works:
Working Paper: Quadratic ARCH Models (1995)
Working Paper: Quadratic Arch Models (1995)
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:oup:restud:v:62:y:1995:i:4:p:639-661.
Access Statistics for this article
The Review of Economic Studies is currently edited by Thomas Chaney, Xavier d’Haultfoeuille, Andrea Galeotti, Bård Harstad, Nir Jaimovich, Katrine Loken, Elias Papaioannou, Vincent Sterk and Noam Yuchtman
More articles in The Review of Economic Studies from Review of Economic Studies Ltd
Bibliographic data for series maintained by Oxford University Press ().