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On time‐varying amplitude HGARCH model

Toktam Valizadeh, Saeid Rezakhah and Ferdous Mohammadi Basatini

International Journal of Finance & Economics, 2021, vol. 26, issue 2, 2538-2547

Abstract: 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.

Date: 2021
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