Detecting volatility persistence in GARCH models in the presence of the leverage effect

Beg, A.B.M. Rabiul Alam, and Anwar, Sajid (2014) Detecting volatility persistence in GARCH models in the presence of the leverage effect. Quantitative Finance, 14 (12). pp. 2205-2213.

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Abstract

Most asset prices are subject to significant volatility. The arrival of new information is viewed as the main source of volatility. As new information is continually released, financial asset prices exhibit volatility persistence, which affects financial risk analysis and risk management strategies. This paper proposes a nonlinear regime-switching threshold generalized autoregressive conditional heteroskedasticity model which can be used to analyse financial data. The empirical results based on quasi-maximum likelihood estimation presented in this paper suggest that the proposed model is capable of extracting information about the sources of volatility persistence in the presence of the leverage effect.

Item ID: 26795
Item Type: Article (Research - C1)
ISSN: 1469–7696
Keywords: quantitative finance, quantitative finance techniques, exchange rates, financial applications
Date Deposited: 01 May 2013 05:54
FoR Codes: 14 ECONOMICS > 1403 Econometrics > 140305 Time-Series Analysis @ 100%
SEO Codes: 91 ECONOMIC FRAMEWORK > 9101 Macroeconomics > 910104 Exchange Rates @ 100%
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