cryptocurrencies, i.e. Bitcoin, Ethereum, Ripple and Litecoin. More than 1,000 GARCH models are fitted to the log returns of the … well as using a Model Confidence Set (MCS) procedure for their loss functions. The results imply that using standard GARCH …

This paper estimates a time-varying AR-GARCH model of inflation producing measures of inflation uncertainty for the … inflation uncertainty by lowering the inflation rate. -- inflation ; inflation uncertainty ; time-varying parameters ; GARCH …

GARCH in order to characterize the behavior of daily, weekly as well as monthly oil prices. Secondly, it relates its … characterized by GARCH as well as conditional jump behavior and that a considerable portion of the total variance is triggered by … ; conditional jumps ; GARCH ; Hotelling ; climate change ; deterministic trend …

emissions trading market. Based on the application of a combined jump-GARCH model the behavior of EUA prices is characterized …. The jump-GARCH model explains the unsteady carbon price movement well and, moreover, shows that between 40 and 60 percent … carbon prices are desired. -- emission allowance prices ; GARCH ; jumps ; jump-induced variance …

alternative models, specifically option-implied volatility forecasts based on the Black-Scholes model, ARCH/GARCH-type model … combination methods using a simple average outperform ARCH/GARCH-type models in terms of forecasting accuracy. …

Conditional Heteroscedasticity (GARCH) volatility model. The optimization was performed by employing a Nondominated Sorting … to those obtained from applying more customary mean-multivariate GARCH and historical VaR models. The results hold true …