Results 221 to 230 of about 3,197 (255)

Varying Coefficient GARCH Models

2009
This paper offers a new method for estimation and forecasting of the volatility of financial time series when the stationarity assumption is violated. We consider varying–coefficient parametric models, such as ARCH and GARCH, whose coefficients may arbitrarily vary with time.
Cizek, P., Spokoiny, V.
openaire   +2 more sources

Dynamic Factor Multivariate GARCH Model

SSRN Electronic Journal, 2012
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
André Alves Portela Santos, Guilherme V. Moura   +1 more
openaire   +2 more sources

Comparison of Specification Tests for GARCH Models

SSRN Electronic Journal, 2012
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Kilani Ghoudi, Bruno N. Rémillard
openaire   +1 more source

Comparison of BEKK GARCH and DCC GARCH Models: An Empirical Study

2010
Modeling volatility and co-volatility of a few zero-coupon bonds is a fundamental element in the field of fix-income risk evaluation. Multivariate GARCH model (MGARCH), an extension of the well-known univariate GARCH, is one of the most useful tools in modeling the co-movement of multivariate time series with time-varying covariance matrix. Grounded on
Yiyu Huang, Wenjing Su, Xiang Li 0033
openaire   +1 more source

Coupled GARCH(1,1) model

Quantitative Finance, 2023
Huasheng Nie, Waelbroeck, Henri
openaire   +1 more source

The Skew-t Garch Model

2006
A GARCH-type model for non-leading financial market returns is considered.The innovation consists in assuming the returns to depend on the sign of the leading financial market in the world. Under standard assumption, the conditional distribution of the returns turns out to be a Skew-t random variate.
DE LUCA, GIOVANNI, LOPERFIDO N.
openaire   +2 more sources

A Skew-in-Mean GARCH Model

2004
DE LUCA, GIOVANNI, LOPERFIDO N.
openaire   +3 more sources

Can economic policy uncertainty predict exchange rate volatility? New evidence from the GARCH-MIDAS model

Finance Research Letters, 2020
Zhongbao Zhou
exaly  

Cryptocurrencies Intraday High-Frequency Volatility Spillover Effects Using Univariate and Multivariate GARCH Models

International Journal of Financial Studies, 2022
Apostolos Ampountolas
exaly  

Empirical investigation on modeling solar radiation series with ARMA–GARCH models

Energy Conversion and Management, 2015
Jianzhong Zhou, Huaiwei Sun
exaly