Conditional returns distributions generated by a GARCH process, which are important for many problems in market risk … moments of GARCH returns distributions in several ways: we consider a general GARCH model – the GJR specification with a … specific GARCH models largely used in practice are recovered as special cases; we derive the limits of these moments as the …

GARCH option pricing models have the advantage of a well-established econometric foundation. However, multiple states … need to be introduced as single state GARCH and even Levy processes are unable to explain the term structure of the moments … of financial data. We show that the continuous time version of the Markov switching GARCH(1,1) process is a stochastic …

GARCH processes constitute the major area of time series variance analysis hence the limit of these processes is of … considerable interest for continuous time volatility modelling. The limit of the GARCH(1,1) model is fundamental for limits of … other GARCH processes yet it has been the subject of much debate. The seminal work of Nelson (1990) derived this limit as a …