Contemporaneous Asymmetry in Weak GARCH Processes

Mohamed El Babsiri and Jean-Michel Zakoian
Additional contact information
Mohamed El Babsiri: Caisse des Dépôts et Consignations, Paris, France

No 1996004, LIDAM Discussion Papers CORE from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

Abstract: The paper proposes an original class of conditionally heteroskedastic models aimed to capture a new concept of asymmetry. Not only past up and down moves of stock market returns have different impacts on the conditional variance, but also, positive and negative changes are governed by different (asymmetric) volatilities. We give a formal content to asymmetry in a weak GARCH framework. The probabilistic structure of the proposed class of models is analyzed in details: constraints sullicient to guarantee the covariance stationarity and existence of white noise solutions are developed; necessary and sufficient conditions for strict stationarity are presented. The paper also provides theoretical results on the quasi-maximum likelihood estimation in a context where the usual martingale difference assumption is ruled out. Finally, it is shown that the asymmetric hypotheses underlying the model are strongly supported by stock returns data, through an empirical analysis on the French stock market.

Keywords: Asymmetry; Weak GARCH Processes; Heteroskedasticity; Linear Innovation; Stationarity; Consistency; Time-Varying Excess Kurtosis (search for similar items in EconPapers)
Date: 1996-03-01
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://sites.uclouvain.be/core/publications/coredp/coredp1996.html (text/html)

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:cor:louvco:1996004

Access Statistics for this paper

More papers in LIDAM Discussion Papers CORE from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Voie du Roman Pays 34, 1348 Louvain-la-Neuve (Belgium). Contact information at EDIRC.
Bibliographic data for series maintained by Alain GILLIS ().