IDEAS home Printed from
MyIDEAS: Log in (now much improved!) to save this paper

A Structured GARCH Model of Daily Equity Return Volatility

Listed author(s):
  • Gregory Connor


This paper estimates a structural times series model of return volatility. We argue that the structural time series approach to GARCH modelling first suggested by Engle and Lee, has the potential to improve the empirical reliability of GARCH models, and greatly enhance their interpretability. In its structural form, our model has tow parts, a short-memory GARCH model with a time-varying benchmark variance, and a longer-memory exponential smoothing model of benchmark variance. In its reduced for, the model is equivalent to a restricted-coefficient version of the GARCH (2,2) model. We apply the model to daily equity index returns from seven countries over the period January 1980 - April 1997. The model significantly outperform unstructured GARCH in its ability to capture short, medium and long-term memory in daily return volatility.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL:
Download Restriction: no

Paper provided by Financial Markets Group in its series FMG Discussion Papers with number dp370.

in new window

Date of creation: Mar 2001
Handle: RePEc:fmg:fmgdps:dp370
Contact details of provider: Web page:

No references listed on IDEAS
You can help add them by filling out this form.

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:fmg:fmgdps:dp370. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (The FMG Administration)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.