, coffee, cotton, orange juice, Kansas City wheat, rubber, and palm oil. The class of fractional GARCH models, namely the … FIGARCH model of Baillie et al. (1996), FIEGACH model of Bollerslev and Mikkelsen (1996), and FIAPARCH model of Tse (1998 …), are modelled and compared with the GARCH model of Bollerslev (1986), EGARCH model of Nelson (1991), and APARCH model of …

Though multivariate GARCH models are widely used in empirical research, their computational aspects still represent a … simultaneous equations model (SEM) with GARCH errors was considered by Engle and Kroner (1995). While there are many applications … GARCH errors to compute the corresponding ML estimators. We compare different gradient algorithms in a simulation framework …

We investigate several aspects of GARCH(p,q) models which are relevant for empirical applications. In particular, we … note that the inclusion of a dummy variable as regressor can lead to multimodality in the GARCH likelihood. This makes … on the GARCH parameter space. We present a small refinement to the Nelson-Cao (1992) conditions for a GARCH(2,q) model …