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Random coefficient volatility models

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  • Thavaneswaran, A.
  • Peiris, S.
  • Appadoo, S.
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    Abstract

    In financial modeling, the moments of the observed process, the kurtosis and the moments of the conditional volatility play important roles. They are very important in model identification and in forecasting the volatility (see Thavaneswaran et al. [(2005b). Forecasting volatility. Statist. Probab. Lett. 75, 1-10.]). This paper introduces random coefficient GARCH models including the class random coefficient GARCH (RC-GARCH) models and derive their higher order moments and kurtosis.

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    Bibliographic Info

    Article provided by Elsevier in its journal Statistics & Probability Letters.

    Volume (Year): 78 (2008)
    Issue (Month): 6 (April)
    Pages: 582-593

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    Handle: RePEc:eee:stapro:v:78:y:2008:i:6:p:582-593

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    Related research

    Keywords: Stochastic volatility Random coefficient Kurtosis Sign-switching;

    References

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    1. Engle, Robert F & Ng, Victor K, 1993. " Measuring and Testing the Impact of News on Volatility," Journal of Finance, American Finance Association, vol. 48(5), pages 1749-78, December.
    2. He, Changli & Terasvirta, Timo, 1999. "Properties of moments of a family of GARCH processes," Journal of Econometrics, Elsevier, vol. 92(1), pages 173-192, September.
    3. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    4. Bovas Abraham & A. Thavaneswaran, 1991. "A nonlinear time series model and estimation of missing observations," Annals of the Institute of Statistical Mathematics, Springer, vol. 43(3), pages 493-504, September.
    5. Fornari, Fabio & Mele, Antonio, 1997. "Sign- and Volatility-Switching ARCH Models: Theory and Applications to International Stock Markets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 12(1), pages 49-65, Jan.-Feb..
    6. Thavaneswaran, A. & Appadoo, S.S. & Peiris, S., 2005. "Forecasting volatility," Statistics & Probability Letters, Elsevier, vol. 75(1), pages 1-10, November.
    7. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
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    Cited by:
    1. Sabiruzzaman, Md. & Monimul Huq, Md. & Beg, Rabiul Alam & Anwar, Sajid, 2010. "Modeling and forecasting trading volume index: GARCH versus TGARCH approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 50(2), pages 141-145, May.

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