Cumulative Impulse Response Functions for a Class of Threshold-Asymmetric GARCH Processes
- Authors
- 박진아; 백지선; 황선영
- Issue Date
- Mar-2010
- Publisher
- 한국통계학회
- Keywords
- Cumulative impulse response function; persistent; asymmetric-TGARCH
- Citation
- Communications for Statistical Applications and Methods, v.17, no.2, pp 255 - 261
- Pages
- 7
- Journal Title
- Communications for Statistical Applications and Methods
- Volume
- 17
- Number
- 2
- Start Page
- 255
- End Page
- 261
- URI
- https://scholarworks.sookmyung.ac.kr/handle/2020.sw.sookmyung/13554
- ISSN
- 2287-7843
- Abstract
- A class of threshold-asymmetric GRACH(TGARCH, hereafter) models has been useful for explaining asymmetric volatilities in the field of financial time series. The cumulative impulse response function of a conditionally heteroscedastic time series often measures a degree of unstability in volatilities. In this article, a general form of the cumulative impulse response function of the TGARCH model is discussed. In particular, We present formula in their closed forms for the first two lower order models, viz., TGARCH(1, 1) and TGARCH(2, 2).
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