Asymmetric GARCH processes featuring both threshold effect and bilinear structure
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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Volume (Year): 82 (2012)
Issue (Month): 3 ()
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