) 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 …

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 …

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 …

. Simulation studies are conducted for European and Asian call options using both the Black and Scholes and GARCH option pricing …

stocks; the generalized distribution is used for the standardized innovations in a nonlinear, asymmetric GARCH-type model … contenues dans un modèle asymétrique non linéaire de type GARCH. Les résultats démontrent de façon empirique l'utilité de la …