We consider estimates of the parameters of GARCH models of daily financial returns, obtained using intra-day (high … not exist. In particular, we consider estimation in this way of an ARCH approximation, and obtain GARCH parameters by a … estimés des paramètres des modèles GARCH pour les rendements financiers journaliers, qui sont obtenus à l'aide des données …

the stochastic variance. Our class encompasses the usual GARCH models and various asymmetric GARCH models. Moreover, our … natural extension of the weak GARCH models. Our extension has four advantages: i) we do not assume that the fourth moment is … finite; ii) we allow for asymmetries (skewness, leverage effect) that are excluded by the weak GARCH models; iii) we derive …

periodicity in conditional heteroskedasticity. The periodic structures in GARCH models share many properties with periodic ARMA … processes studied by Gladyshev (1961), Tiao and Grupe (1980) and others. We describe the relation between periodic GARCH … processes and time-invariant (seasonal) GARCH processes. Besides the periodic GARCH or P-GARCH process, we also discuss P …

options shows that the new Inverse Gaussian GARCH model's performance is superior to a standard existing nested model for out …-of-the money puts, thus demonstrating the importance of conditional skewness. The discrete-time Inverse Gaussian GARCH process has … sur l'indice S&P500 montre que la performance du nouveau modèle GARCH gaussien inverse est supérieure à celle des modèles …