Nonlinear GARCH Models and Volatility Spillover

65 Pages Posted: 3 Nov 2005

See all articles by Uwe Wehrspohn

Uwe Wehrspohn

Wehrspohn GmbH & Co. KG; University of Wuerzburg

Date Written: October 10, 2005

Abstract

We extend the class of GARCH models to comprise asymmetric and nonlinear effects on volatility. In particular, we do not only explain future volatility of a time series on its own past, but allow for external influences and spillovers between capital markets. For this generalized class of models, the asymptotic behavior of the Quasi-Maximum-Likelihood estimator of model parameters is derived. The models are applied to time series of fx-rates. It is found that in particular the simple asymmetric models lead to improved performance.

Keywords: GARCH, heteroskedasticity, volatility spillover

JEL Classification: C13, C22, C32

Suggested Citation

Wehrspohn, Uwe, Nonlinear GARCH Models and Volatility Spillover (October 10, 2005). Available at SSRN: https://ssrn.com/abstract=827084 or http://dx.doi.org/10.2139/ssrn.827084

Uwe Wehrspohn (Contact Author)

Wehrspohn GmbH & Co. KG ( email )

Nietzschestra├če 20
Mannheim, D-68165
Germany
+49 (0) 621 14626754 (Phone)

HOME PAGE: http://www.wehrspohn.info

University of Wuerzburg ( email )

Sanderring 2
Wuerzburg, Bavaria 97070
Germany
+49 (0)931 / 3184806 (Phone)
+49 (0)931 / 312 95 5 (Fax)

HOME PAGE: http://www.fzrm.uni-wuerzburg.de

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
343
Abstract Views
1,529
rank
110,995
PlumX Metrics