𝔖 Bobbio Scriptorium
✦   LIBER   ✦

The smooth transition GARCH model: application to international stock indexes

✍ Scribed by Khemiri, Rim

Book ID
120564650
Publisher
Taylor and Francis Group
Year
2011
Tongue
English
Weight
135 KB
Volume
21
Category
Article
ISSN
0960-3107

No coin nor oath required. For personal study only.

πŸ“œ SIMILAR VOLUMES

The asymmetric reactions of mean and vol
The asymmetric reactions of mean and volatility of stock returns to domestic and international information based on a four-regime double-threshold GARCH model
✍ Cathy W.S. Chen; Ming Jing Yang; Richard Gerlach; H. Jim Lo πŸ“‚ Article πŸ“… 2006 πŸ› Elsevier Science 🌐 English βš– 281 KB

In this paper, we investigate the asymmetric reactions of mean and volatility of stock returns in five major markets to their own local news and the US information via linear and nonlinear models. We introduce a four-regime Double-Threshold GARCH (DTGARCH) model, which allows asymmetry in both the c