This paper examines the forecasting performance of GARCH’s models used with agricultural commodities data. We compare … containing a genuine stock index also. The implied goal is to find out if the GARCH models are more fitted for stock indices than …

Pakistan. This paper utilizes Generalized Auto Regressive Conditional Hetroskedasticity (GARCH) model to estimate volatility in …

heteroscedasticity (GARCH) measure of real exchange rate volatility, the findings show that exchange rate volatility depresses exports in …

the GARCH by developed Engle and Bollerslev (1986) and EGARCH by Nelson (1991) methodologies, the paper empirically …

different industrial sectors. A competitive partial-equilibrium model with quadratic adjustment costs in investment and a GARCH … model, the GARCH property is inherited by the aggregate investment process in the rational-expectations equilibrium. The … conjectured, GARCH effects play an important role in some sectors but are not significant in others. Astonishingly, the volatility …

return and volatility equations. When using the GARCH (1,1) specification only for the return equation and the Modified-GARCH …

Portuguese Stock Index PSI-20. By using simple GARCH, GARCH-M, Exponential GARCH (EGARCH) and Threshold ARCH (TARCH) models, we …

, there have been no studies which have used the GARCH methodology to study export volatility. This paper fills the void. It …