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 …

, this paper estimates and evaluates the forecasting performance of four ARMAX–GARCH models for five MISO pricing hubs … by a simple GARCH model and thus are less complex. …

Germany. Using a GARCH model, I evaluate the effect of wind electricity generation on the level and the volatility of the …

-augmented GARCH specification for the period from May 1987 to October 2013, our key findings are as follows: (i) Volatilities on … choice of other frequently used GARCH model variants, like GARCH-M, TGARCH and CGARCH. …

GARCH model 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 …

-variance hedging models, especially those based on GARCH, generate much greater margin and transaction costs than the naïve hedge … favours the implementation of GARCH-based hedging strategies. …

relationship exists between the three series. To take into account the influence of temperature on the gas volatility, a GARCH(1 …