MODELING THE CHANGING ASYMMETRY OF CONDITIONAL VARIANCES

Authors
FORNARI F MELE A
Citation
F. Fornari et A. Mele, MODELING THE CHANGING ASYMMETRY OF CONDITIONAL VARIANCES, Economics letters, 50(2), 1996, pp. 197-203
Citations number
11
Categorie Soggetti
Economics
Journal title
Economics letters → ACNP
ISSN journal
01651765
Volume
50
Issue
2
Year of publication
1996
Pages
197 - 203
Database
ISI
SICI code
0165-1765(1996)50:2<197:MTCAOC>2.0.ZU;2-N
Abstract
We analyze the asymmetric response of the volatility to the arrival of shocks of opposite sign. After revising the major formulations develo ped so far to capture the phenomenon, a more general model is proposed ; it cannot be rejected against three competing specifications when fi tted to stock exchange indices returns.