SIGN- AND VOLATILITY-SWITCHING ARCH MODELS: THEORY AND APPLICATIONS TO INTERNATIONAL STOCK MARKETS
符号切换与波动切换 ARCH 模型：理论及国际股票市场应用
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 Ito diffusion processes, as happens for other heteroscedastic formulations. One of the schemes developed in the paper--the Volatility-switching…