several advantages compared to the linear correlation measure in modeling comovement. This paper introduces a copula ARMA-GARCH … model for analyzing the comovement of indexes in German equity markets. The model is implemented with an ARMA-GARCH model … skewed Student's t copula ARMA(1,1)-GARCH(1,1) model with Lévy fractional stable noise is superior to alternative models …

intermediate regimes is considered and modeled with the introduction of a smooth-transition mechanism in a GARCH specification. One … power. A smooth-transition GARCH specification is tested and estimated with stock returns and exchange-rate data. While a …

This paper describes a GAUSS program of a Markov-chain sampling algorithm for GARCH models proposed by Nakatsuma (1998 …). This algorithm allows us to generate Monte Carlo samples of parameters in a GARCH model from their joint posterior … distribution. The samples obtained by this algorithm are used for Bayesian analysis of the GARCH model. As numerical examples …

different GARCH models. …

principal index of the London Stock Exchange supports our model when compared to other frequently used GARCH-type models, which …

GARCH (1,1) model. As a result, the GARCH estimate tends to have too small a standard error relative to the true one when … the ARCH parameter is small, even when sample size becomes very large. In combination with an upward bias in the GARCH …

This article examines the volatility forecasting abilities of three approaches: GARCH-type model that uses carbon … document that GARCH-type models perform better than an implied volatility and the k-nearest neighbor model. This result …

moving average (ARMA) models with generalized autoregressive conditional heteroskedasticity (GARCH) processes, namely ARMA–GARCH … models, along with their modified forms, ARMA–GARCH-in-mean (ARMA–GARCH-M), to model and forecast hourly ahead electricity … the ARMA–GARCH based time series forecasting of electricity prices. Multiple statistical measures are employed to evaluate …

intermediate regimes is considered and modeled with the introduction of a smooth-transition mechanism in a GARCH specification. One … power. A smooth-transition GARCH specification is tested and estimated with stock returns and exchange-rate data. While a …

different GARCH models. …