On time‐varying amplitude HGARCH model
Saeid Rezakhah and
Ferdous Mohammadi Basatini
International Journal of Finance & Economics, 2021, vol. 26, issue 2, 2538-2547
The HGARCH model allows long‐memory dependence in volatilities. A new HGARCH model with time‐varying amplitude is presented in this paper. Moment properties of the model are discussed. A score test is derived to check the time‐varying behaviour of the amplitude. Value‐at‐risk testings are done to evaluate the forecasting capability. Simulation and empirical results provide further support to the proposed model.
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:wly:ijfiec:v:26:y:2021:i:2:p:2538-2547
Ordering information: This journal article can be ordered from
http://jws-edcv.wile ... PRINT_ISSN=1076-9307
Access Statistics for this article
International Journal of Finance & Economics is currently edited by Mark P. Taylor, Keith Cuthbertson and Michael P. Dooley
More articles in International Journal of Finance & Economics from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley Content Delivery ().