Modelling time-varying volatility using GARCH models: evidence from the Indian stock market. [PDF]
F1000Res, 2022 Ali F, Suri P, Kaur T, Bisht D.
europepmc +1 more source
FORECASTING INTEREST RATES - A COMPARATIVE ASSESSMENT OF SOME SECOND GENERATION NON-LINEAR MODELS [PDF]
Modelling and forecasting of interest rates has traditionally proceeded in the framework of linear stationary models such as ARMA and VAR, but only with moderate success.
Dilip M. Nachane, Jose G. Clavel
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A multivariate generalized independent factor GARCH model with an application to financial stock returns [PDF]
, 2008 We propose a new multivariate factor GARCH model, the GICA-GARCH model , where the data are assumed to be generated by a set of independent components (ICs).
García-Ferrer, Antonio +2 more
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Estimation of the parameters of symmetric stable ARMA and ARMA-GARCH models. [PDF]
J Appl Stat, 2022 Sathe AM, Upadhye NS.
europepmc +1 more source
A multivariate generalized independent factor GARCH model with an application to financial stock returns [PDF]
We propose a new multivariate factor GARCH model, the GICA-GARCH model , where the data are assumed to be generated by a set of independent components (ICs).
Antonio García-Ferrer +2 more
core
Robust and efficient estimation of GARCH models based on Hellinger distance. [PDF]
J Appl Stat, 2022 Zhao Q, Chen L, Wu J.
europepmc +1 more source
Do Macroeconomic Announcements Cause Asymmetric Volatility [PDF]
multivariate GARCH;volatility;macroeconomics;garch models;stock markets;bond ...
Goeij, P. C. de, Marquering, W.
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Contagion effect of cryptocurrency on the securities market: a study of Bitcoin volatility using diagonal BEKK and DCC GARCH models. [PDF]
SN Bus Econ, 2022 Sajeev KC, Afjal M.
europepmc +1 more source
Overestimation in the Traditional GARCH Model During Jump Periods [PDF]
The traditional continuous and smooth models, like the GARCH model, may fail to capture extreme returns volatility. Therefore, this study applies the bivariate poisson (CBP)-GARCH model to study jump dynamics in price volatility of crude oil and heating ...
Wan-Hsiu Cheng
core
On buffered threshold Garch models
Statistica Sinica, 2016 published_or_final_version
LO, PH, Li, G, Yu, PLH, Li, WK
openaire +3 more sources