Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5097631 | Journal of Econometrics | 2006 | 20 Pages |
Abstract
A semiparametric extension of the GJR model (Glosten et al., 1993. Journal of Finance 48, 1779-1801) is proposed for the volatility of foreign exchange returns. Under reasonable assumptions, asymptotic normal distributions are established for the estimators of the model, corroborated by simulation results. When applied to the Deutsche Mark/US Dollar and the Deutsche Mark/British Pound daily returns data, the semiparametric volatility model outperforms the GJR model as well as the more commonly used GARCH(1,1) model in terms of goodness-of-fit, and forecasting, by correcting overgrowth in volatility.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Lijian Yang,