Negative Volatility Spillovers in the Unrestricted ECCC-GARCH Model ∗

@inproceedings{Conrad2008NegativeVS,
  title={Negative Volatility Spillovers in the Unrestricted ECCC-GARCH Model ∗},
  author={Christian Conrad and Menelaos Karanasos},
  year={2008}
}
This paper considers a formulation of the extended constant or time-varying conditional correlation GARCH model which allows for volatility feedback of either sign, i.e., positive or negative. In the previous literature, negative volatility spillovers were ruled out by the assumption that all the coefficients of the model are nonnegative, which is a sufficient condition for ensuring the positive definiteness of the conditional covariance matrix. In order to allow for negative feedback, we show… CONTINUE READING
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