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Cited by 723

The DOI matches its Crossref record; 4 of the 4 references it cites were found in a registry or an index.

All in the family Nesting symmetric and asymmetric GARCH models

Open access
Hentschel, Ludger·1995·Journal of Financial Economics
DOI 10.1016/0304-405x(94)00821-h
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Abstract

This paper develops a parametric family of models of generalized autoregressive heteroskedasticity (GARCH). The family nests the most popular symmetric and asymmetric GARCH models, thereby highlighting the relation between the models and their treatment of asymmetry. Furthermore, the structure permits nested tests of different types of asymmetry and functional forms. Daily U.S. stock return data reject all standard GARCH models in favor of a model in which, roughly speaking, the conditional standard deviation depends on the shifted absolute value of the shocks raised to the power three halves and past standard deviations.

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Metadata

Authors
Hentschel, L.
Venue
Journal of Financial Economics
Publisher
Elsevier BV
Published
1995-09
Volume
39
Issue
1
Pages
71-104
ISSN
0304-405X (ISSN-L)
DOI
10.1016/0304-405x(94)00821-h
OpenAlex
W2164923280
Cited by
723
References
4
FWCI
14.64
Type
journal article
Language
en
Open access
hybrid

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CoChat. (2026). Citation check: All in the family Nesting symmetric and asymmetric GARCH models. https://app.cochat.ai/papers/10.1016/0304-405x(94)00821-h
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Hentschel, L. (1995). All in the family Nesting symmetric and asymmetric GARCH models. Journal of Financial Economics. https://doi.org/10.1016/0304-405x(94)00821-h

Data sources

Bibliographic data: Semantic Scholar, OpenAlex, Crossref.

Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.