| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5059184 | Economics Letters | 2014 | 13 Pages |
Abstract
This paper analyzes the effect of omitting a persistent covariate in the GARCH-X model. In particular, we show that if the relevant persistent covariate is omitted and the usual GARCH(1,1) model is fitted, the model will be estimated approximately as an IGARCH model. This may well explain the ubiquitous evidence of the IGARCH in empirical volatility analysis.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Heejoon Han, Joon Y. Park,