In this paper a flexible multiple regime GARCH(1, 1)-type model is developed to describe the sign and size asymmetries and intermittent dynamics in financial volatility. The results of the paper are ...

Will Kenton is an expert on the economy and investing laws and regulations. He previously held senior editorial roles at Investopedia and Kapitall Wire and holds a MA in Economics from The New School ...

This article examines the persistence of the variance, as measured by the generalized auto-regressive conditional heteroskedasticity (GARCH) model, in stock-return data. In particular, we investigate ...