Modeling the changing asymmetry of conditional variances

被引：16

作者：

Fornari, F ^{[1
]}

Mele, A ^{[1
]}

机构：

[1] UNIV PARIS 10,F-92001 NANTERRE,FRANCE

来源：

ECONOMICS LETTERS | 1996年 / 50卷 / 02期

关键词：

asymmetric variance; conditional heteroskedasticity;

D O I：

10.1016/0165-1765(95)00736-9

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We analyze the asymmetric response of the volatility to the arrival of shocks of opposite sign. After revising the major formulations developed so far to capture the phenomenon, a more general model is proposed; it cannot be rejected against three competing specifications when fitted to stock exchange indices returns.

引用

页码：197 / 203

页数：7

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