| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1154879 | Statistics & Probability Letters | 2012 | 8 Pages |
Abstract
A class of asymmetric GARCH models is proposed by combining threshold effect and bilinear structure. The class is referred to as threshold-bilinear GARCH processes. A simulation study demonstrates that the class exhibits diverse asymmetries in volatilities, accommodating existing asymmetric models. Stationarity and existence of moments are discussed. Applications to Korean stock prices are illustrated.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
M.S. Choi, J.A. Park, S.Y. Hwang,