financial time series and use it to improve the short-term forecasts from GARCH models. We study different generalizations of … GARCH that allow for several time scales. On our holding sample, none of the considered models can fully exploit the …

. After showing that the expectation of the sum of the estimates of the autoregressive coefficients of a GARCH(1,1) model is …

GARCH models. All the procedures are illustrated in detail. …

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

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 …

options but GARCH volatility forecasts do. Trading based on implied volatility forecasts for the S&P 100 index options also … fail to generate profits in excess of transaction costs. This paper shows that trading based on GARCH volatility forecast …&P index options markets. GARCH models fair well due to their flexibility to incorporate asymmetric and nonlinear volatility …

December 1993. Second, using various GARCH models to account for heteroskedasticity show that Gaussian models can be misleading …

security returns for stochastic beta and GARCH effects, may very well cause researchers to draw inappropriate conclusions. …