All in the family Nesting symmetric and asymmetric GARCH models

Journal of Financial Economics

Volumn 39, Issue 1, 1995, Pages 71-104

  Hentschel, Ludger ^a  

^a UNIVERSITY OF ROCHESTER   (United States)

Author keywords

Asymmetry; GARCH; Heteroskedasticity; Variance; Volatility

Indexed keywords

EID: 58149364937     PISSN: 0304405X     EISSN: None     Source Type: Journal    
DOI: 10.1016/0304-405X(94)00821-H     Document Type: Article

References (43)

1. Studies of stock price volatility changes
2. Generalized autoregressive conditional heteroskedasticity
3. A conditionally heteroskedastic time series model of security prices and rates of return data
4. Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
5. Stationarity of GARCH processes and of some non-negative time series
6. An analysis of transformations
7. The stochastic behavior of common stock variances: Value, leverage, and interest rate effects
8. Variance function estimation
9. A long memory property of stock market returns and a new model
10. Autoregressive conditional heteroskedasticity with estimates of the variance of United Kingdom inflation
11. Discussion Stock market volatility and the crash of '87
12. Modelling the persistence of conditional variances
13. Modelling the persistence of conditional variances
14. Measuring and testing the impact of news on volatility
15. Estimating time varying risk premia in the term structure The ARCH-M model
16. Expected stock returns and volatility
17. Economic implications of extraordinary movements in stock prices
18. Commet
19. On the relation between the expected value and the volatility of the nominal excess return on stocks
20. A class of nonlinear ARCH models
21. The pricing of options with stochastic volatilities
22. Option pricing when the variance is changing
23. The variation of certain speculative prices
24. Pricing foreign currency options with stochastic volatility
25. A simplex method for function minimization
26. ARCH models as diffusion approximations
27. Stationarity and persistence in the GARCH(11) model
28. Conditional heteroskedasticity in asset returns A new approach
29. Inequality constraints in the univariate GARCH model
30. Asymptotic filtering theory for univariate ARCH models
31. Alternative models for conditional stock volatility
32. Comment
33. An efficient method for finding the minimum of a function of several variables without calculating derivatives
34. Threshold ARCH models and asymmetries in volatility
35. Why does stock market volatility change over time?
36. Indexes of United States stock prices from 1802 to 1987
37. Option pricing when the variance changes randomly Theory estimation and an application
38. Maximum likelihood estimation of misspecified models
39. Option values under stochastic volatility: Theory and empirical estimates