, auto, oil and gas, Information Technology (IT), healthcare and real estate sectors, the research employs the BEKK GARCH and … GO-GARCH models to analyze the daily data. Results reveal that the own market's conditional volatility is primarily …

study uses the Generalized Autoregressive Conditional Heteroskedastic (GARCH) and Exponential Generalized Autoregressive … Conditional Heteroskedastic (EGARCH) models to achieve the main objectives. The findings of the GARCH and EGARCH models confirm …

adopted the recent DCC-GARCH-CONNECTEDNESS approach proposed by Gabauer (2020) to conduct a time-varying analysis that …

The complexity of estimating multivariate GARCH models increases significantly with the increase in the number of asset … series. To address this issue, we propose a general regularization framework for high-dimensional GARCH models with BEKK …

of VaR approaches. This study critically evaluates the efficacy of GARCH-type VaR models within the transportation sector … GARCH-type VaR models include GARCH (1,1) VaR, ARMA (1,1)-GARCH (1,1) VaR, GARCH (1,1)-M VaR, IGARCH (1,1) VaR, EWMA VaR … surpasses GARCH-type VaR models in failure rate accuracy. Within the GARCH-type category, the EWMA VaR model exhibited superior …