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On time‐varying amplitude HGARCH model

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  • Toktam Valizadeh
  • Saeid Rezakhah
  • Ferdous Mohammadi Basatini

Abstract

The HGARCH model allows long‐memory dependence in volatilities. A new HGARCH model with time‐varying amplitude is presented in this paper. Moment properties of the model are discussed. A score test is derived to check the time‐varying behaviour of the amplitude. Value‐at‐risk testings are done to evaluate the forecasting capability. Simulation and empirical results provide further support to the proposed model.

Suggested Citation

  • Toktam Valizadeh & Saeid Rezakhah & Ferdous Mohammadi Basatini, 2021. "On time‐varying amplitude HGARCH model," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 2538-2547, April.
    • Handle: RePEc:wly:ijfiec:v:26:y:2021:i:2:p:2538-2547
    DOI: 10.1002/ijfe.1919
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