All Questions
3 questions
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Understanding Volatility Clustering: Conditional or Unconditional Variance?
A stylized fact observed in financial time series is volatility clustering. Volatility clustering is commonly described as the fact that large changes in asset prices are followed by large changes, ...
- 1,465
1
vote
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The Nonlinear Asymmetric GARCH Model
I'm reading about the Nonlinear Asymmetric GARCH (NAGARCH) model. If NAGARCH(1, 1) is given by:
$${\displaystyle ~\sigma _{t}^{2}=~\omega +~\alpha (~\epsilon _{t-1}-~\theta ~\sigma _{t-1})^{2}+~\beta ~...
- 750
0
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1
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DCC GARCH - specifying ARCH and GARCH parameter matrices in Stata
The command in Stata to estimate the DCC model of two variables is:
mgarch dcc ( x1 x2=, noconstant) , arch(1) garch(1) distribution(t)
$$
\begin{bmatrix}
h_{...
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