’ conditional variance towards a higher regime. Non-linear GARCH models are applied to monitor different switching regimes of the …

different industrial sectors. A competitive partial-equilibrium model with quadratic adjustment costs in investment and a GARCH … model, the GARCH property is inherited by the aggregate investment process in the rational-expectations equilibrium. The … conjectured, GARCH effects play an important role in some sectors but are not significant in others. Astonishingly, the volatility …

hypothesis of asymmetric effects of exchange rate risk with a dynamic conditional correlation bivariate GARCH(1,1)-M model. The …

Certain types of nonlinear GARCH (p,q) model which allows a signed volatility are considered. Sufficient conditions for …

Nonlinear time series models, especially those with regime-switching and GARCH errors, have become increasingly popular … of three different specifications of the first-order STAR-GARCH model, and sufficient conditions for the existence of …

trading volume, which is used as a proxy of information arrival, in the GARCH specification reduces the persistence of the … portfolios. Our conclusion is that the information-based effect helps in explaining the GARCH effect to a large extent …. Nevertheless, GARCH does not completely vanish as a result of this inclusion. …

between estimated GARCH(1,1) unconditional variance and the sample variance. Moreover, we document particularly poor longer …-horizon forecasting performance of the GARCH(1,1) model for samples characterized by strong discrepancy between the two measures of …

The Dynamic Conditional Correlation model of Engle has made the estimation of multivariate GARCH models feasible for …