MODELING MULTIPLE REGIMES IN FINANCIAL VOLATILITY WITH A FLEXIBLE COEFFICIENT GARCH(1,1) MODEL

By Marcelo C. Medeiros, Álvaro Veiga. Econometric Theory, 2009

73 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/140037b0bbb82420fa41868a1a8809deb1414c7e

Citations in the corpus

• Glossary to ARCH (GARCH) (2008, unknown): “FCGARCH (Flexible Coefficient GARCH) The FCGARCH model of Medeiros and Veiga (2009) defines the conditional variance as a linear combination of standard GARCH-type models, with the weights assigned to each model determined by a set of logistic functions.”