Risk-management criteria in the Latin-American stock markets: an assessment with a TGARCH model with a skewed normal distribution and autoregressive conditional asymmetry

Lorenzo-Valdes, Arturo; Ruíz-Porras, Antonio

doi:10.1504/ijcee.2015.072298

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2023

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“…This volatility is asymmetric and is a negative correlation between volatility and returns. References can be found in Nelson (1991); Fornari and Mele (1997); Liu (2007); Chen et al (2010a); Wang (2013);Vald? ?s and Porras (2015); Wang et al (2020).…”

Section: Introductionmentioning

confidence: 99%

Statistical inferences of TGARCH model based on high-frequency data

Deng,

Zhang,

et al. 2023

Preprint

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This paper proposes the VP-TGARCH model to study the asymmetric effect of returns on volatility. A noteworthy feature of the model is that the value of the threshold parameter is not restricted to 0. Under stationary conditions as well as some regularity conditions, the QMLE of VP-TGARCH model is proved to be consistent and asymptot-ically normal. Based on the QMLE, the Lagrange Multiplier test, the Likelihood Ratio test, the Wald test and the leverage effect test are discussed. Simulation studies are carried out to assess the finite-sample performance of the established QMLE and tests. An empirical study is provided to show a potential application of the VP-TGARCH model. Mathematics Subject Classification: 62H15; 62G20.

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