) ARCH, GARCH and ARCH-in-mean alternatives; (2) the case where the variance increases monotonically with: (i) one exogenous … expériences de Monte Carlo que nous effectuons portent sur: (1) les alternatives de type ARCH, GARCH and ARCH-en-moyenne; (2) le …

We consider estimates of the parameters of GARCH models of daily financial returns, obtained using intra-day (high … not exist. In particular, we consider estimation in this way of an ARCH approximation, and obtain GARCH parameters by a … estimés des paramètres des modèles GARCH pour les rendements financiers journaliers, qui sont obtenus à l'aide des données …

periodicity in conditional heteroskedasticity. The periodic structures in GARCH models share many properties with periodic ARMA … processes studied by Gladyshev (1961), Tiao and Grupe (1980) and others. We describe the relation between periodic GARCH … processes and time-invariant (seasonal) GARCH processes. Besides the periodic GARCH or P-GARCH process, we also discuss P …

volatility from standard QML-estimated GARCH models, and from projections on past realized volatilities obtained from high … and Wright (2001), that projections on past realized volatility provide better 1-step forecasts than the QML-GARCH … modèles GARCH-QVM standard et à partir de projections directes sur les volatilités réalisées. Nous considérons un horizon …

popular continuous-time models as GARCH, multi-factor affine, and log-normal diffusions, we find that the realized volatility … en temps continu usuels comme les modèles de diffusion GARCH, affine à plusieurs facteurs, et log-normal, nous trouvons …