The Spline-Garch Model for Low Frequency Volatility and its Global Macroeconomic Causes

By Robert F. Engle, José Gonzalo Rangel. 2008

878 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/5474c5e60461b7f0598f48ce3e6aba9fc4fb728d

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Citations in the corpus

The impacts of oil price shocks on stock market volatility: Evidence from the G7 countries (2016, background): “…innovations to dividend growth rates and expected returns are estimated through a regression on macroeconomic and financial variables, which implies that a relationship exists between volatility and macroeconomic and financial variables, including oil price shocks (see Engle and Rangel (2008)).”
Macro-Finance Determinants of the Long-Run Stock-Bond Correlation: The DCC-MIDAS Specification (2016, neutral): “Engle and Rangel (2008) apply this technique to the GARCH framework to form the spline GARCH model.”
Really Uncertain Business Cycles (2012, neutral): “Looking instead at macroeconomic uncertainty, there is already a growing literature providing evidence that this is also countercyclical, for example Schwert (1989), Campbell, Lettau, Malkiel, and Xu (2001), Engle and Rangel (2008) and Jurado, Ludvigsson and Ng (2014). Rather than repeat this eviden”
Testing for Granger Causality in Large Mixed-Frequency VARs (2016, neutral): “…variables can help to predict volatility movements has been investigated widely in the literature (see Schwert, 1989b, Hamilton and Gang, 1996, or Engle and Rangel, 2008, among others), the reverse, i.e., whether the future path of the economy can be forecasted using return volatility, has been…”
Stock market volatility and business cycle: Evidence from linear and nonlinear causality tests (2016, background): “Recent work also establishes a strong link between stock market volatility and macroeconomic fundamentals (see, Engle and Rangel, 2008; Engle et al., 2008; Diebold and Yilmaz, 2010; and Corradi et al., 2013).”
Long memory and regime switching: A simulation study on the Markov Regime-Switching ARFIMA model (2015, neutral): “For the real financial data, due to reasons such as the structural breaks in the real economy, regime switching is very likely to exist (Marcucci, 2005; Engle and Rangel, 2008; Beltratti and Morana, 2006).”
Glossary to ARCH (GARCH) (2008, neutral): “The Spline-GARCH model of Engle and Rangel (2008) speciﬁes the conditional variance of ε t as the product of a standardized unit GARCH(1,1) model, and a deterministic component represented by an exponential spline function of time, where ( t − t i ) + is equal to ( t − t i ) for t > t i and 0…”
Open source information, investor attention, and asset pricing (2013, background): “…lists available at SciVerse ScienceDirect Economic Modelling j ourna l homepage: www.e lsev ie r .com/ locate /ecmod abnormal return can also be driven by macroeconomic environment (Engle and Rangel, 2008), which is unrelated to investor attention.”
What Ties Return Volatilities to Price Valuations and Fundamentals? (2013, neutral): “…volatility, of which we do not attempt a survey, but refer to Anderson, Bollerslev, and Diebold ð2010Þ for recent advances and references and to Ludvigson and Ng ð2007Þ and Engle and Rangel ð2008Þ for recent contributions on the relation between stock return volatility and fundamentals.”