GARCH and sign-type tests against general dependencies and asymmetries. The procedures proposed provide exact versions of … following. Whereas univariate exact tests indicate significant serial correlation, asymmetries and GARCH in some equations, such … matrice de covariance des erreurs. Nous considérons des tests contre la dépendance sérielle, contre la présence d'effets GARCH …

tests for multivariate GARCH and multivariate generalization of the well known variance ratio tests) and goodness of fit … des tests pour les effets GARCH multivariés et une généralisation multivariée des tests de ratio de variance), des tests …

, which are robust to weak identification and allow for non-Gaussian distributions including parametric GARCH structures. In …

documented with statistical tools such as exceedance correlation, extreme value theory, and Gaussian bivariate GARCH or regime … modèles GARCH bivarié en langage Gauss ou avec changement de régime. Nous signalons les limites de ces outils pour …

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 …

) ARCH, GARCH and ARCH-in-mean alternatives; (2) the case where the variance increases monotonically with: (i) one exogenous … expériences de Monte Carlo que nous effectuons portent sur: (1) les alternatives de type ARCH, GARCH and ARCH-en-moyenne; (2) le …

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 …

volatility from standard QML-estimated GARCH models, and from projections on past realized volatilities obtained from high … and Wright (2001), that projections on past realized volatility provide better 1-step forecasts than the QML-GARCH … modèles GARCH-QVM standard et à partir de projections directes sur les volatilités réalisées. Nous considérons un horizon …