ALL IN THE FAMILY - NESTING SYMMETRICAL AND ASYMMETRIC GARCH MODELS

• 成果类型: Article
• 署名作者: HENTSCHEL, L
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/0304-405X(94)00821-H
• 发表日期: 1995
• 页码: 71-104
• 关键词: GARCH; asymmetry; heteroskedasticity; variance; volatility; JEL CLASSIFICATION; G12; C22

摘要

This paper develops a parametric family of models of generalized autoregressive heteroskedasticity (GARCH). The family nests the most popular symmetric and asymmetric GARCH models, thereby highlighting the relation between the models and their treatment of asymmetry. Furthermore, the structure permits nested tests of different types of asymmetry and functional forms. Daily U.S. stock return data reject all standard GARCH models in favor of a model in which, roughly speaking, the conditional standard deviation depends on the shifted absolute value of the shocks raised to the power three halves and past standard deviations.