Accurate Value-at-Risk Forecast with the (good old) Normal-GARCH Model [PDF]
A resampling method based on the bootstrap and a bias-correction step is developed for improving the Value-at-Risk (VaR) forecasting ability of the normal-GARCH model.
Stefan Mittnik +2 more
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A Range-Based GARCH Model for Forecasting Volatility [PDF]
A new variant of the ARCH class of models for forecasting the conditional variance, to be called the Generalized AutoRegressive Conditional Heteroskedasticity Parkinson Range (GARCH-PARK-R) Model, is proposed.
Mapa, Dennis S.
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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
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QML estimation of a class of multivariate GARCH models without moment conditions on the observed process [PDF]
We establish the strong consistency and asymptotic normality of the quasi-maximum likelihood estimator of the parameters of a class of multivariate GARCH processes. The conditions are mild and coincide with the minimal ones in the univariate case.
Francq, Christian, Zakoian, Jean-Michel
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From Discrete to Continuous: Modeling Volatility of the Istanbul Stock Exchange Market with GARCH and COGARCH [PDF]
The objective of this paper is to model the volatility of Istanbul Stock Exchange market, ISE100 Index by ARMA and GARCH models and then take a step further into the analysis from discrete modeling to continuous modeling.
Yildirim, Yavuz, Unal, Gazanfer
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The Continuous Limit of GARCH Processess [PDF]
Contrary to popular belief, the diffusion limit of a GARCH variance process is not a diffusion model unless one makes a very specific assumption that cannot be generalized.
Emese Lazar, Carol Alexandra
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Accurate value-at-risk forecast with the (good) old normal-GARCH model [PDF]
, 2006 A resampling method based on the bootstrap and a bias-correction step is developed for improving the Value-at-Risk (VaR) forecasting ability of the normal-GARCH model.
Hartz, Christoph +2 more
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A necessary and sufficient condition for the strict stationarity of a family of GARCH processes [PDF]
We consider a family of GARCH(1,1) processes introduced in He and Teräsvirta (1999a). This family contains various popular GARCH models as special cases.
Meitz, Mika
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Modeling and Forecasting Volatility of the Malaysian and the Singaporean stock indices using Asymmetric GARCH models and Non-normal Densities [PDF]
This paper examines and estimate the three GARCH(1,1) models (GARCH, EGARCH and GJR-GARCH) using the daily price data. Two Asian stock indices KLCI and STI are studied using daily data over a 14-years period.
Abu Hassan, Ahmed Shamiri
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Merits and drawbacks of variance targeting in GARCH models [PDF]
Variance targeting estimation is a technique used to alleviate the numerical difficulties encountered in the quasi-maximum likelihood (QML) estimation of GARCH models.
Francq, Christian +2 more
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