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Quadratic Arch Models

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Author Info

  • Sentana,E.

Abstract

The author introduces a new model for time-varying conditional variances as the most general quadratic version possible within the ARCH class. Hence, it encompasses all the existing restricted quadratic variance functions. Its properties are very similar to those of GARCH models but avoids some of their criticisms. In univariate applications to daily U.S. and monthly U.K. stock market returns, QARCH adequately represents volatility and risk premia. QARCH is easy to incorporate in muitivariate models to capture dynamic assymmetries that GARCH rules out. Such asymmetries are found in an empirical application of a conditional factor model to twenty-six U.K. sectorial stock returns. Copyright 1995 by The Review of Economic Studies Limited.

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Bibliographic Info

Paper provided by Centro de Estudios Monetarios Y Financieros- in its series Papers with number 9517.

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Length: 41 pages
Date of creation: 1995
Date of revision:
Handle: RePEc:fth:cemfdt:9517

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Keywords: RISK; MODELS;

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