Apart from the well-known, high persistence of daily financial volatility data, there is also a short correlation … 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 …

A common finding in the empirical literature is that financial volatility exhibits high persistence, or slow mean … reversion of the order of months. We present evidence that financial volatility data contains more than a single time scale …. After showing that the expectation of the sum of the estimates of the autoregressive coefficients of a GARCH(1,1) model is …

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 …

return and volatility equations. When using the GARCH (1,1) specification only for the return equation and the Modified-GARCH … (1,1) specification for both the return and volatility equations, findings indicate that the day of the week effect is …

Volatility of financial markets is an important topic for academics, policy makers and market participants. In this … these specifications. Then assuming that the squared returns are the benchmark estimate for actual volatility of the day, I … compare all of the models with respect to how much efficient they are to mimic the realized volatility. At the same time I …

conjectured, GARCH effects play an important role in some sectors but are not significant in others. Astonishingly, the volatility …This paper addresses the question if there are differences between time patterns in the volatility of investment across … different industrial sectors. A competitive partial-equilibrium model with quadratic adjustment costs in investment and a GARCH …

, it is found, has a significant impact on domestic money supply and stock market growth, liquidity and volatility. The …

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

original empirical time series, but also with the simulated results from the corresponding Brownian Motion and GARCH processes … wavelet scalograms, we demonstrate that the MMAR outperforms both the GBM and GARCH(1,1) in time-frequency comparisons, in … attributes of the empirical distributions, while the simulated GBM and GARCH(1,1) processes cannot preserve the thick-tails, high …