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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.

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.

Suggested Citation

  • Choi, M.S. & Park, J.A. & Hwang, S.Y., 2012. "Asymmetric GARCH processes featuring both threshold effect and bilinear structure," Statistics & Probability Letters, Elsevier, vol. 82(3), pages 419-426.
    • Handle: RePEc:eee:stapro:v:82:y:2012:i:3:p:419-426
    DOI: 10.1016/j.spl.2011.11.023
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    References listed on IDEAS

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