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Introductory Econometrics for Finance

Introductory Econometrics for Finance Chris Brooks The ISMA Centre, University of Reading published by the press syndicate of the university of cambridge The Pitt Building, Trumpington Street, Cambridge, United Kingdom cambridge university press The Edinburgh Building, Cambridge CB2 2RU, UK. 40 West 20th Street, New York, NY 10011-4211, USA. 477 Williamstown Road, Port Melbourne, VIC 3207, Australia Ruiz de Alarco n 13, 28014 Madrid, Spain Dock House, The Waterfront, Cape Town 8001, South Africa . C Chris Brooks 2002. This book is in copyright. Subject to statutory exception and to the provisions of relevant collective licensing agreements, no reproduction of any part may take place without the written permission of Cambridge University Press.

models 445 8.8 Generalised ARCH (GARCH) models 452 8.9 Estimation of ARCH/GARCH models 455 8.10 Extensions to the basic GARCH model 468 8.11 Asymmetric GARCH models 469 8.12 The GJR model 469 8.13 The EGARCH model 470 8.14 GJR and EGARCH in EViews 471 8.15 Estimating GJR and EGARCH models using RATS 472 8.16 Tests for asymmetries …

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www.econ.uiuc.edu

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