Chapter 10. Asymmetries

  1. Christian Francq1 and
  2. Jean-Michel Zakoïan1,2

Published Online: 14 JUL 2010

DOI: 10.1002/9780470670057.ch10

GARCH Models: Structure, Statistical Inference and Financial Applications

GARCH Models: Structure, Statistical Inference and Financial Applications

How to Cite

Francq, C. and Zakoïan, J.-M. (2010) Asymmetries, in GARCH Models: Structure, Statistical Inference and Financial Applications, John Wiley & Sons, Ltd, Chichester, UK. doi: 10.1002/9780470670057.ch10

Author Information

  1. 1

    University Lille 3, Lille, France

  2. 2

    CREST, Paris, France

Publication History

  1. Published Online: 14 JUL 2010
  2. Published Print: 23 JUL 2010

ISBN Information

Print ISBN: 9780470683910

Online ISBN: 9780470670057

SEARCH

Keywords:

  • extensions and applications - asymmetries;
  • classical GARCH models - classical GARCH modeling, important drawback;
  • exponential GARCH (EGARCH) model - mimicking that given for strong GARCH;
  • EGARCH model, in contrast to classical GARCH - volatility having a multiplicative dynamics;
  • threshold GARCH model - asymmetry specifying conditional variance as function of positive and negative parts of past innovations;
  • TGARCH(1, 1) model - study of stationarity properties of TGARCH(1, 1) model;
  • strict stationarity of TGARCH(p, q) model;
  • asymmetric power GARCH model;
  • other asymmetric GARCH models;
  • SAS program for fitting of TGARCH(1, 1) model with interventions

Summary

This chapter contains sections titled:

  • Exponential GARCH Model

  • Threshold GARCH Model

  • Asymmetric Power GARCH Model

  • Other Asymmetric GARCH Models

  • A GARCH Model with Contemporaneous Conditional Asymmetry

  • Empirical Comparisons of Asymmetric GARCH Formulations

  • Bibliographical Notes

  • Exercises