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- W3048757954 abstract "Abstract A Zero-drift GARCH (ZD-GARCH) model is recently proposed to study conditional and unconditional heteroskedasticity together. Despite its attractive statistical properties, our research demonstrate that the stability test based on this model fails when structural changes are present. To overcome this issue, we allow the Markov regime-switching (MRS) feature within the ZD-GARCH framework and propose an MRS-ZD-GARCH model. The powerfulness of this approach is evidenced via simulation studies. Using the S&P 500 empirical data, we show that the new model can also outperform the ZD-GARCH model in practice." @default.
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- W3048757954 date "2021-05-01" @default.
- W3048757954 modified "2023-09-24" @default.
- W3048757954 title "Discussions on the Zero-drift GARCH model: Evidence from an Markov regime-switching extension" @default.
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- W3048757954 doi "https://doi.org/10.1016/j.frl.2020.101713" @default.
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