Journal of the Korean Statistical Society

The Korean Statistical Society (한국통계학회)
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BINARY RANDOM POWER APPROACH TO MODELING ASYMMETRIC CONDITIONAL HETEROSCEDASTICITY

  • KIM S. (Department of Statistics, Chungang University) ;
  • HWANG S.Y. (Department of Statistics, Sookmyung Women’s University)
  • Published : 2005.03.01
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Abstract

A class of asymmetric ARCH processes is proposed via binary random power transformations. This class accommodates traditional nonlinear models such as threshold ARCH (Rabemanjara and Zacoian (1993)) and Box-Cox type ARCH models(Higgins and Bera (1992)). Stationarity condition of the model is addressed. Iterative least squares(ILS) and pseudo maximum like-lihood(PML) methods are discussed for estimating parameters and related algorithms are presented. Illustrative analysis for Korea Stock Prices Index (KOSPI) data is conducted.

Keywords

References

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