National Repository of Grey Literature 1 records found  Search took 0.01 seconds. 
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.
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