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Quadratic GARCH Models: Introduction and Applications
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 Title & Authors
Quadratic GARCH Models: Introduction and Applications
Park, Jin-A; Choi, Moon-Sun; Hwan, Sun-Young;
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In GARCH context, the conditional variance (or volatility) is of a quadratic function of the observation process. Examine standard ARCH/GARCH and their variant models in terms of quadratic formulations and it is interesting to note that most models in GARCH context have contained neither the first order term nor the interaction term. In this paper, we consider three models possessing the first order and/or interaction terms in the formulation of conditional variances, viz., quadratic GARCH, absolute value GARCH and bilinear GARCH processes. These models are investigated with a view to model comparisons and applications to financial time series in Korea
Volatility;quadratic GARCH(Q-GARCH);bilinear GARCH(BL-GARCH);
 Cited by
금융시계열 분석을 위한 다변량-GARCH 모형에서 비대칭-CCC의 도입 및 응용,박란희;최문선;황선;

응용통계연구, 2011. vol.24. 5, pp.821-831 crossref(new window)
Asymmetric CCC Modelling in Multivariate-GARCH with Illustrations of Multivariate Financial Data, Korean Journal of Applied Statistics, 2011, 24, 5, 821  crossref(new windwow)
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