Abstract
Extracted from text ... Number 52 - Part 1 N Biekpe* and MJ Moore** Measuring volatility using bilinear GARCH models For all correspondence, contact Nicholas Biekpe, Africa Centre for Investment Analysis, University of Stellenbosch, PO Box 610, Bellville 7535, South Africa. Email: nbiekpe@acia.sun.ac.za **Queen's School of Management, The Queen's University of Belfast, Northern Ireland. 1. Introduction Although there is now an extensive literature on modelling financial volatility using the ARCH class of models (Engel, 1982; Bollerslev, 1986; Bollerslev, Chou and Kroner, 1992) among others, little attention has been paid to the covariance structure between the lagged values of independent variables. This structure is always ..
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