IGARCH effects: An interpretation

Applied Economics Letters

Volumn 9, Issue 11, 2002, Pages 745-748

  Morana, C ^a  

^a UNIVERSITY OF EASTERN PIEDMONT   (Italy)

Author keywords

[No Author keywords available]

Indexed keywords

EXCHANGE RATE; MODELING; STRUCTURAL CHANGE;

EID: 0036039729     PISSN: 13504851     EISSN: None     Source Type: Journal    
DOI: 10.1080/13504850210127254     Document Type: Article

References (14)

1. The distribution of exchangerate volatility
2. Answering the skeptics: Yes, standard volatility models do provide accurate forecasts
3. Regime switching in foreign exchange rates: Evidence from currency option prices
4. Generalized autoregressive conditional heteroskedasticity
5. A Markov model of switching regime ARCH
6. Hypothesis testing when a nuisance parameter is present only under the alternative
7. Comment on 'Modeling the persistence of conditional variance', R. Engle and T. Bollerslev
8. Markov switching in GARCH processes and mean-reverting stock market volatility
9. Measuring and testing the impact of news on volatility
10. Autoregressive conditional heteroskedasticity and changes in regime
11. Persistence in variance, structural change and the GARCH model
12. Estimation of GARCH processes in the presence of structural change
13. A stochastic volatility model with Markov switching