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


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: or

Uwe Wehrspohn (Contact Author)

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University of Wuerzburg ( email )

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