Threshold heteroskedastic models

Jean Michel Zakoian

doi:10.1016/0165-1889(94)90039-6

Threshold heteroskedastic models

Jean Michel Zakoian

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Research output: Contribution to journal › Article › peer-review

Abstract

In this paper we consider a modification of the classical ARCH models introduced by Engle (1982). In this modified model the conditional standard deviation is a piecewise linear function of past values of the white noise. This specific form allows different reactions of the volatility to different signs of the lagged errors. Stationarity conditions are derived. Maximum likelihood and least squares estimation are also considered. Finally an empirical example relating to the French CAC stock index is presented and several specifications are compared.

Original language	English
Pages (from-to)	931-955
Number of pages	25
Journal	Journal of Economic Dynamics and Control
Volume	18
Issue number	5
DOIs	https://doi.org/10.1016/0165-1889(94)90039-6
Publication status	Published - 1 Jan 1994
Externally published	Yes

Keywords

Asymmetries in volatility
GARCH models
Stationarity

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10.1016/0165-1889(94)90039-6

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title = "Threshold heteroskedastic models",

abstract = "In this paper we consider a modification of the classical ARCH models introduced by Engle (1982). In this modified model the conditional standard deviation is a piecewise linear function of past values of the white noise. This specific form allows different reactions of the volatility to different signs of the lagged errors. Stationarity conditions are derived. Maximum likelihood and least squares estimation are also considered. Finally an empirical example relating to the French CAC stock index is presented and several specifications are compared.",

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AB - In this paper we consider a modification of the classical ARCH models introduced by Engle (1982). In this modified model the conditional standard deviation is a piecewise linear function of past values of the white noise. This specific form allows different reactions of the volatility to different signs of the lagged errors. Stationarity conditions are derived. Maximum likelihood and least squares estimation are also considered. Finally an empirical example relating to the French CAC stock index is presented and several specifications are compared.

KW - Asymmetries in volatility

KW - GARCH models

KW - Stationarity

U2 - 10.1016/0165-1889(94)90039-6

DO - 10.1016/0165-1889(94)90039-6

M3 - Article

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VL - 18

SP - 931

EP - 955

JO - Journal of Economic Dynamics and Control

JF - Journal of Economic Dynamics and Control

IS - 5

ER -

Threshold heteroskedastic models

Abstract

Keywords

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