Portuguese Stock Index PSI-20. By using simple GARCH, GARCH-M, Exponential GARCH (EGARCH) and Threshold ARCH (TARCH) models, we …The volatility clustering often seen in financial data has increased the interest of researchers in applying good … models to measure and forecast stock returns. This paper aims to model the volatility for daily and weekly returns of the …

political turmoil of 2011. The analysis is based on employing both GARCH and EGARCH models. Daily closing prices of four …Modeling volatility during a financial crisis where massive shocks are generated presents an ideal environment for … investigating the dynamics of volatility during periods of extreme fluctuations for comparison with volatility during more tranquil …

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 …

, almost for all countries GARCH (1, 1) yielded significant results confirming the existence of volatility of stock markets for … are among the ones undertaken in this study. The rationale behind this study is to ascertain the volatility in stock … periods. GARCH (1, 1) was deployed for investigating the possible eventualities of volatilities of stock markets. The findings …

This paper is focused on the historical development of selected exchange rates' volatility, that is: AUD, CAD, DEM, DKK …' volatility is nothing special in the historical context considering the lenght and the extent. …

the GARCH by developed Engle and Bollerslev (1986) and EGARCH by Nelson (1991) methodologies, the paper empirically …

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 …

by ARCH models. The volatility is measured by a linear GARCH and an EGARCH process. Our results suggests that EGARCH … provides better estimates than a linear standard GARCH model. The EGARCH also can capture most of the asymmetry, supporting the … following an ARMA (1,7) process, and the conditional variance with time-dependent conditional heteroskedasticity as represented …

The diagonal GARCH(1,1) model is shown to support identification of the triangular system and is argued as a higher …

volatility of returns which have been considered at both sectorial and sub-sectorial levels during the period 1999-2008. Using … EGARCH models, this work shows that expansive monetary policies may influence stock market indexes much more than restrictive …