Recent work by Engle and Lee (1999) shows that allowing for long-run and short-run components greatly enhances a GARCH … valuation performance of the Engle-Lee model and compare it to the standard one-component GARCH(1,1) model. We also compare … these non-affine GARCH models to one- and two- component models from the class of affine GARCH models developed in Heston …

) pertinent to the constrained optimization problem arising in the estimation of the GARCH models with inequality constraints, in … particular the Simplified Component GARCH Model (SCGARCH), together with algorithms for the objective function and analytical …

GARCH volatility models with fixed parameters are too restrictive for long time series due to breaks in the volatility … process. Flexible alternatives are Markov-switching GARCH and change-point GARCH models. They require estimation by MCMC …

disasters, stochastic volatility, and GARCH affect any risk premia in a wide class of DSGE models. To quantify these effects, we … volatility, and GARCH. We ?find that rare disasters increase the mean level of the 10-year nominal term premium, whereas a key … effect of stochastic volatility and GARCH is an increase in the variability of this premium. …

functional forms available for the volatility dynamic, multifactor models, nonnormal shock distributions as well as style of … between GARCH and stochastic volatility models. In the appendix we provide Matlab computer code for option pricing via Monte …We survey the theory and empirical evidence on GARCH option valuation models. Our treatment includes the range of …

GARCH model augmented by including an additional explanatory variable - the so-called GARCH-X model. The additional … volatility equation are consistent and normally distributed in large samples independently of the degree of persistence. This … other hand, the intercept in the volatility equation is not identifi?ed when the covariate is non-stationary which is akin …

In this paper we propose a new multivariate GARCH model with time-varying conditional correlation structure. The time …

and realized measures of volatility. The Realized GARCH framework nests most GARCH models as special cases and is, in many … GARCH framework; it implies an ARMA structure for the conditional variance and realized measures of volatility; and models …GARCH models have been successful in modeling financial returns. Still, much is to be gained by incorporating a …

We introduce the Simplified Component GARCH (SC-GARCH) option pricing model, show and discuss sufficient conditions for … option valuation, comparing the model performance with similar models from the literature. Two volatility components in our … model allow us to model time structure of volatility. …