Detecting volatility persistence in GARCH models in the presence of the leverage effect

A B M Rabiul Alam Beg; Sajid Anwar

doi:10.1080/14697688.2012.716162

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Detecting volatility persistence in GARCH models in the presence of the leverage effect

Journal article

Peer reviewed

Detecting volatility persistence in GARCH models in the presence of the leverage effect

A B M Rabiul Alam Beg and Sajid Anwar

Quantitative Finance, Vol.14(12), pp.2205-2213

2014

DOI: https://doi.org/10.1080/14697688.2012.716162

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Abstract

quantitative finance

quantitative finance techniques

exchange rates

financial applications

Most asset prices are subject to significant volatility. The arrival of new information is viewed as the main source of volatility. As new information is continually released, financial asset prices exhibit volatility persistence, which affects financial risk analysis and risk management strategies. This paper proposes a nonlinear regime-switching threshold generalized autoregressive conditional heteroskedasticity model which can be used to analyse financial data. The empirical results based on quasi-maximum likelihood estimation presented in this paper suggest that the proposed model is capable of extracting information about the sources of volatility persistence in the presence of the leverage effect.

Details

Title: Detecting volatility persistence in GARCH models in the presence of the leverage effect
Authors: A B M Rabiul Alam Beg (Author) - James Cook University
Sajid Anwar (Author) - University of the Sunshine Coast - Faculty of Arts and Business
Publication details: Quantitative Finance, Vol.14(12), pp.2205-2213
Publisher: Routledge
Date published: 2014
DOI: 10.1080/14697688.2012.716162
ISSN: 1469-7688
Organisation Unit: School of Business and Creative Industries; Indigenous and Transcultural Research Centre; University of the Sunshine Coast, Queensland; USC Business School - Legacy
Language: English
Record Identifier: 99450238102621
Output Type: Journal article

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Collaboration types: Domestic collaboration
Web Of Science research areas: Business, Finance; Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods

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