Will Kenton is an expert on the economy and investing laws and regulations. He previously held senior editorial roles at Investopedia and Kapitall Wire and holds a MA in Economics from The New School ...
In this paper a flexible multiple regime GARCH(1, 1)-type model is developed to describe the sign and size asymmetries and intermittent dynamics in financial volatility. The results of the paper are ...
The augmented GARCH model is a unification of numerous extensions of the popular and widely used ARCH process. It was introduced by Duan and besides ordinary (linear) GARCH processes, it contains ...
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