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Binary Random Power Approach to Modeling Asymmetric Conditional Heteroscedasticity
- Issue Date
- Mar-2005
- Publisher
- 한국통계학회
- Keywords
- Asymmetric ARCH; binary random power; iterative least squares(ILS); KOSPI data; pseudo maximum likelihood(PML).
- Citation
- Journal of the Korean Statistical Society, v.34, no.1, pp 61 - 71
- Pages
- 11
- Journal Title
- Journal of the Korean Statistical Society
- Volume
- 34
- Number
- 1
- Start Page
- 61
- End Page
- 71
- ISSN
- 1226-3192
1876-4231
- Abstract
- A class of asymmetric ARCH processes is proposed via binary randompower transformations. This class accommodates traditional nonlinear modelssuch as threshold ARCH (Rabemanjara and Zacoian (1993)) and Box-Coxtype ARCH models(Higgins and Bera (1992)). Stationarity condition of themodel is addressed. Iterative least squares(ILS) and pseudo maximum likelihood(PML) methods are discussed for estimating parameters and relatedalgorithms are presented. Illustrative analysis for Korea Stock Prices Index(KOSPI) data is conducted.
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