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Asymmetric GARCH processes featuring both threshold effect and bilinear structure
- Authors
- Choi, M. S.; Park, J. A.; Hwang, S. Y.
- Issue Date
- Mar-2012
- Publisher
- ELSEVIER SCIENCE BV
- Keywords
- Asymmetric volatility; Bilinear GARCH; Threshold GARCH
- Citation
- STATISTICS & PROBABILITY LETTERS, v.82, no.3, pp 419 - 426
- Pages
- 8
- Journal Title
- STATISTICS & PROBABILITY LETTERS
- Volume
- 82
- Number
- 3
- Start Page
- 419
- End Page
- 426
- ISSN
- 0167-7152
1879-2103
- 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. (C) 2011 Elsevier B.V. All rights reserved.
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