SIGN- AND VOLATILITY-SWITCHING ARCH MODELS: THEORY AND APPLICATIONS TO INTERNATIONAL STOCK MARKETS
提出了两种条件异方差模型，允许条件波动率对新闻的反应不对称，其中波动率转换ARCH模型能捕捉波动率不对称反应的反转现象，并在六国股市数据中优于传统模型。
This paper develops two conditionally heteroscedastic models which allow an asymmetric reaction of the conditional volatility to the arrival of news. Such a reaction is induced by both the sign of past shocks and the size of past unexpected volatility. The proposed models are shown to converge in distribution to absolutely continuous Itô diffusion processes, as happens for other heteroscedastic formulations. One of the schemes developed in the paper—the Volatility-switching ARCH—differs from the existing asymmetric models insofar as it is able to capture a particular aspect of the behaviour of the volatilities, i.e. the reversion of their asymmetric reaction to news. Empirical evidence from stock market returns in six countries shows that such a model outperforms traditional asymmetric ARCH equations. © 1997 by John Wiley & Sons, Ltd.