This paper proposes a new kind of asymmetric GARCh where the conditional variance obeys two different regimes with a smooth transition function. In one formulation variance reacts differently to negative and positive shocks while a second formulation, small and big shocks have separate effects.
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Paper provided by Universite Aix-Marseille III in its series G.R.E.Q.A.M. with number
99a49.
Length: 29 pages Date of creation: 1999 Date of revision: Handle: RePEc:fth:aixmeq:99a49
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Find related papers by JEL classification: C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Bayesian Analysis C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies
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