. Time series models with GARCH errors are also considered. Based on formal econometrics tests, this study shows that the …

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

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 …

models (Exponential Smoothing, ARIMA and GARCH) based on multi-step ahead forecast mean squared errors. We investigate …

factor models with GARCH dynamics (GARCH(1,1)-M, IGARCH(1,1)-M, Nonlinear Asymmetric GARCH(1,1)-M and Glosten …-Jagannathan-Runkle GARCH(1,1)-M) and three different distributions for the disturbances (Normal, Student's t and Generalized Error Distribution … compared with forecasts based on individual GARCH(1,1)-M models, static factor models, naive, random walk and exponential …

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

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