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Asymmetric GARCH processes featuring both threshold effect and bilinear structure

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  • Choi, M.S.
  • Park, J.A.
  • Hwang, S.Y.
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    Abstract

    A class of asymmetric GARCH models is proposed by combining threshold effect and bilinear structure. The class is referred to as threshold-bilinear GARCH processes. A simulation study demonstrates that the class exhibits diverse asymmetries in volatilities, accommodating existing asymmetric models. Stationarity and existence of moments are discussed. Applications to Korean stock prices are illustrated.

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    File URL: http://www.sciencedirect.com/science/article/pii/S0167715211003774
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    Bibliographic Info

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

    Volume (Year): 82 (2012)
    Issue (Month): 3 ()
    Pages: 419-426

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    Handle: RePEc:eee:stapro:v:82:y:2012:i:3:p:419-426

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    Related research

    Keywords: Asymmetric volatility; Bilinear GARCH; Threshold GARCH;

    References

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    1. Hwang, S. Y. & Basawa, I. V., 2004. "Stationarity and moment structure for Box-Cox transformed threshold GARCH(1,1) processes," Statistics & Probability Letters, Elsevier, vol. 68(3), pages 209-220, July.
    2. Glosten, Lawrence R & Jagannathan, Ravi & Runkle, David E, 1993. " On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks," Journal of Finance, American Finance Association, vol. 48(5), pages 1779-1801, December.
    3. Shiqing Ling & Michael McAleer, 2001. "Stationarity and the Existence of Moments of a Family of GARCH Processes," ISER Discussion Paper 0535, Institute of Social and Economic Research, Osaka University.
    4. Liu, Ji-Chun, 2006. "On The Tail Behaviors Of A Family Of Garch Processes," Econometric Theory, Cambridge University Press, vol. 22(05), pages 852-862, October.
    5. repec:hal:cesptp:halshs-00368340 is not listed on IDEAS
    6. Sentana, Enrique, 1995. "Quadratic ARCH Models," Review of Economic Studies, Wiley Blackwell, vol. 62(4), pages 639-61, October.
    7. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    8. Robert F. Engle & Victor K. Ng, 1991. "Measuring and Testing the Impact of News on Volatility," NBER Working Papers 3681, National Bureau of Economic Research, Inc.
    9. 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.
    10. Pan, Jiazhu & Wang, Hui & Tong, Howell, 2008. "Estimation and tests for power-transformed and threshold GARCH models," Journal of Econometrics, Elsevier, vol. 142(1), pages 352-378, January.
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