Asymmetric GARCH processes featuring both threshold effect and bilinear structure

作者：Choi M S; Park J A; Hwang S Y^*

来源：Statistics & Probability Letters, 2012, 82(3): 419-426.

DOI：10.1016/j.spl.2011.11.023

• Asymmetric volatility
• Bilinear GARCH
• Threshold GARCH

A class of asymmetric GARCH models is proposed by combining threshold effect and bilinear structure. The class is referred to as threshold-bilinear GARCH processes. A simulation study demonstrates that the class exhibits diverse asymmetries in volatilities, accommodating existing asymmetric models. Stationarity and existence of moments are discussed. Applications to Korean stock prices are illustrated.

• 出版日期2012-3