Fractionally Integrated APARCH Modeling of Stock Market Volatility : A multi-country study

@inproceedings{Conrad2008FractionallyIA,
  title={Fractionally Integrated APARCH Modeling of Stock Market Volatility : A multi-country study},
  author={Christian Conrad and M. KARANASOS and Ning Zeng},
  year={2008}
}
Tse (1998) propose a model which combines the fractionally integrated GARCH formulation of Baillie, Bollerslev and Mikkelsen (1996) with the asymmetric power ARCH speci…cation of Ding, Granger and Engle (1993). This paper analyzes the applicability of a multivariate constant conditional correlation version of the model to national stock market returns for eight countries. We …nd this multivariate speci…cation to be generally applicable once power, leverage and long-memory e¤ects are taken into… CONTINUE READING
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