Impact Of Structural Shifts on Variance Persistence in Asymmetric Garch Models: Evidence From Emerging Asian and European Markets
In this study we examined the effect of structural break points in conditional volatility on variance persistency of asymmetric GARCH models. We used Bai and Perron methodology to detect structural break points in conditional variance of daily stock returns of 7 emerging markets (4-European and 3-As...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Romanian National Institute of Statistics
2015-03-01
|
| Series: | Revista Română de Statistică |
| Subjects: | |
| Online Access: | http://www.revistadestatistica.ro/wp-content/uploads/2015/04/A4_RRS_01_2015.pdf |