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On time‐varying amplitude HGARCH model
Author(s) -
Valizadeh Toktam,
Rezakhah Saeid,
Mohammadi Basatini Ferdous
Publication year - 2021
Publication title -
international journal of finance and economics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.505
H-Index - 39
eISSN - 1099-1158
pISSN - 1076-9307
DOI - 10.1002/ijfe.1919
Subject(s) - amplitude , econometrics , economics , value (mathematics) , moment (physics) , long memory , statistical physics , mathematics , physics , statistics , volatility (finance) , classical mechanics , quantum mechanics
The HGARCH model allows long‐memory dependence in volatilities. A new HGARCH model with time‐varying amplitude is presented in this paper. Moment properties of the model are discussed. A score test is derived to check the time‐varying behaviour of the amplitude. Value‐at‐risk testings are done to evaluate the forecasting capability. Simulation and empirical results provide further support to the proposed model.