15.8 Appendix A: Univariate Models for Volatility Timing
We estimate the multivariate correlation models under the following nine volatility specifications for each asset:
1. GARCH: Bollerslev (1986)
2. Absolute Value GARCH (AVGARCH: Taylor, 1986)
3. Nonlinear GARCH (NARCH: Higgins and Bera, 1992)
4. Exponential GARCH (EGARCH: Nelson, 1991)
5. Threshold GARCH (ZARCH: Zakoian, 1994)
6. GJR-GARCH (Glosten et al., 1993)
7. Asymmetric Power GARCH (APGARCH: Ding et al., 1993)
8. Asymmetric GARCH (AGARCH: Engle, 1990)
9. Nonlinear Asymmetric GARCH (NAGARCH: Engle and Ng, 1993):
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