Template-Type: ReDIF-Paper 1.0
Author-Name: Franses, Ph.H.B.F.
Author-Name-Last: Franses
Author-Name-First: Philip Hans
Author-Person: pfr226
Author-Name: Neele, J.
Author-Name-Last: Neele
Author-Name-First: Jack
Author-Name: van Dijk, D.J.C.
Author-Name-Last: van Dijk
Author-Name-First: Dick
Author-Person: pva27
Title: Forecasting volatility with switching persistence GARCH models
Abstract: In this paper we examine the forecasting performance of five nonlinear GARCH(1,1) models. Four of these have recently been proposed in literature, while the fifth model is a new one. All five models allow for switching
 persistence of shocks, depending on the value and/or sign of recent returns.
 We consider the models for weekly data on 5 major stock markets. Our results indicate that all models improve upon the linear GARCH(1,1) model and that our new model sometimes yields favorable forecasting results.
Creation-Date: 1998-06-16
File-URL: https://repub.eur.nl/pub/1553/feweco19980813114411.pdf
File-Format: application/pdf
Series: RePEc:ems:eureir
Number: EI 9819
Keywords: GARCH models, volatility
Handle: RePEc:ems:eureir:1553