heteroskedasticity. GARCH models have thus become very popular, given their ability to account for volatility clustering and, implicitly … weaknesses we apply GARCH-type models with alpha-stable innovations. The stable family of distributions constitutes a … GARCH(1,1) and a TGARCH(1,1) with symmetric stable shocks using as auxiliary model a GARCH(1,1) with skew-t innovations …

the very same day), or dynamic/lagged (with one day lag). A GARCH (1,1) model of modelling volatility has been undertaken …

the asymptotic properties of the two approaches. Their performances are compared for finite-order GARCH models and for the … infinite ARCH. For the standard GARCH(p, q) and the Asymmetric Power GARCH(p,q), it is shown that the ARE of the estimators …

We tested different GARCH models in modeling the volatility of stock returns in London Stock Exchange. The monthly … returns of FTSE All Share Index during the period of February 1965 and October 2002 and GARCH, TGARCH, EGARCH, and AGARCH …

the very same day), or dynamic/lagged (with one day lag). A GARCH (1,1) model of modelling volatility has been undertaken …

Non-linearity is the general characteristic of financial series. Thus, common non-linear models such as GARCH, EGARCH … and TGARCH are used to obtain the volatility of data. in addition , continuous time GARCH (COGARCH) model that is the … extansion and analogue of the discrete time GARCH process, is the new approach for volatility and derivative pricing. COGARCH …