, coffee, cotton, orange juice, Kansas City wheat, rubber, and palm oil. The class of fractional GARCH models, namely the … FIGARCH model of Baillie et al. (1996), FIEGACH model of Bollerslev and Mikkelsen (1996), and FIAPARCH model of Tse (1998 …), are modelled and compared with the GARCH model of Bollerslev (1986), EGARCH model of Nelson (1991), and APARCH model of …

parsimony and robustness. APS is applied within a Bayesian analysis of a GARCH-mixture model which is used for the evaluation of …

both the ARMA(1,1)-GARCH(1,1) and ARMA(3,2)-GJR(1,1) models are suitable for modelling ENSO volatility. Moreover, 1998 is a …

The GARCH model and the Stochastic Volatility [SV] model are competing but non-nested models to describe unobserved … volatility in asset returns. We propose a GARCH model with an additional error term, which can capture SV model properties, and … which can be used to test GARCH against SV. We discuss model representation, parameter estimation and a simple test for …

methods. The effects of several model characteristics (unit roots, GARCH, stochastic volatility, heavy tailed disturbance …

the GARCH(1,1), GJR(1,1) and EGARCH(1,1) models for Korean tourist arrivals to Taiwan and the Korean Won / New Taiwan …