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National Repository of Grey Literature

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The spline GARCH model for unconditional volatility and its global macroeconomic causes Engle, Robert F. ; Rangel, Jose Gonzalo This paper proposes modeling equity volatilities as a combination of macroeconomic effects and time series dynamics. High frequency return volatility is specified to be the product of a slow moving deterministic component, represented by an exponential spline, and a unit GARCH. This deterministic component is the unconditional volatility, which is then estimated for nearly 50 countries over various sample periods of daily data. Fulltext: PDF Detailed record

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