Utilize este identificador para referenciar este registo:
https://hdl.handle.net/1822/11660
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Campo DC | Valor | Idioma |
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dc.contributor.author | Amado, Cristina | - |
dc.contributor.author | Teräsvirta, Timo | - |
dc.date.accessioned | 2011-02-07T13:23:35Z | - |
dc.date.available | 2011-02-07T13:23:35Z | - |
dc.date.issued | 2011 | - |
dc.identifier.citation | “NIPE Working Paper”. 1 (2011) 1-43. | por |
dc.identifier.uri | https://hdl.handle.net/1822/11660 | - |
dc.description.abstract | In this paper, we propose two parametric alternatives to the standard GARCH model. They allow the variance of the model to have a smooth time-varying structure of either additive or multiplicative type. The suggested parameterisations describe both nonlinearity and structural change in the conditional and unconditional variances where the transition between regimes over time is smooth. The main focus is on the multiplicative decom- position that decomposes the variance into an unconditional and conditional component. A modelling strategy for the time-varying GARCH model based on the multiplicative decomposition of the variance is developed. It is heavily dependent on Lagrange multiplier type misspeci.cation tests. Finite-sample properties of the strategy and tests are examined by simulation. An empirical application to daily stock returns and another one to daily exchange rate returns illustrate the functioning and properties of our modelling strategy in practice. The results show that the long memory type behaviour of the sample autocorrelation functions of the absolute returns can also be explained by deterministic changes in the unconditional variance. | por |
dc.description.sponsorship | Fundação para a Ciência e a Tecnologia (FCT) | por |
dc.description.sponsorship | Danish National Research Foundation | por |
dc.language.iso | eng | por |
dc.publisher | Universidade do Minho. Núcleo de Investigação em Políticas Económicas (NIPE) | por |
dc.rights | openAccess | por |
dc.subject | Conditional heteroskedasticity | por |
dc.subject | Time-varying parameter model | por |
dc.subject | Structural change | por |
dc.subject | Lagrange multiplier test | por |
dc.subject | Misspecification test | por |
dc.subject | Nonlinear time series | por |
dc.title | Modelling volatility by variance decomposition | por |
dc.type | workingPaper | por |
Aparece nas coleções: | NIPE - Documentos de Trabalho |
Ficheiros deste registo:
Ficheiro | Descrição | Tamanho | Formato | |
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NIPE_WP_01_2011.pdf | NIPE-WP 01/2011 | 669,46 kB | Adobe PDF | Ver/Abrir |