方法证据记录
APARCH
APARCH, introduced by Ding, Granger, and Engle (1993) while studying long-memory properties of stock market returns, extends the GARCH family by allowing both the power transformation of conditional volatility and an asymmetric response to positive and negative shocks. The model nests at least seven well-known ARCH-type specifications as special cases, making it a unifying framework for volatility modelling in financial econometrics.
源记录
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Asymmetric Power ARCH (APARCH)
分类方法记录 · regression-model / econometrics
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