Hartz, Christoph; Mittnik, Stefan; Paolella, Marc S. - Center for Financial Studies - 2006
assets. In particular, the well known phenom-
enon of time{varying volatility of flnancial returns requires a conditional … approach to modeling
asset returns. The most prominent model for capturing the time varying volatility is the gener-
alized … autoregressive conditional heteroskedasticity (GARCH) model. But even if time{varying
volatility is taken into account, i.e., asset …