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 …

the early 1990s based on a GARCH framework. Using daily intervention data provided by the Japanese Ministry of Finance, we …

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 …

bivariate Fractional Integrated GARCH-in-Mean models is preferred to Brunetti (2000) and Teyssière (1998) processes as indicated …

coefficient model are employed: a bivariate t- GARCH(1,1) model, two Kalman filter based approaches as well as a bivariate …

are employed: a bivariate t-GARCH(1,1) model, two Kalman filter based approaches, a bivariate stochastic volatility model …