unit root tests are examined in the presence of generalised autoregressive conditional heteroskedasticity (GARCH). It is …–Fuller unit root test when applied to series exhibiting GARCH. Importantly, it is found that the use of consistent … the GARCH model. The relevance of the simulation analysis conducted is supported by GARCH modelling of the term structure …

proxy is incorporated into the conditional variance equation of the GARCH model. Some tentative explanations are also given … to expound the non-disappeared GARCH effects. …

interest of the researchers. In this contribution we consider the well known GARCH(1,1) process and its nonlinear modifications … GARCH processes in consideration. We find the obtained equations to be similar to a general class of stochastic differential … equations known to reproduce power law statistics. We show that linear GARCH(1,1) process has power law distribution, but its …

countries, after adjusting for GARCH effects, suggests that for more than 69% of these indices, the hypothesis of no unit root …

spawned an ever increasing variety of models such as GARCH, EGARCH, NARCH, ARCH-M MARCH and the Taylor–Schwert model. The …

ARCH and GARCH stochastic processes are widely used in finance and are generally accepted as good approximations when … for asset price changes seems to more closely fit a Truncated Lévy Flight or GARCH model, but each with individual … shortfalls. In this paper therefore, we combine the GARCH process with a conditional truncated Lévy distribution in order to …

adjusting for GARCH effects, suggests that for more than 66%, the hypothesis of unit root bilinearity is accepted. Therefore …

to overreact to changes in the implied volatility of short-maturity options. When a GARCH process is assumed for exchange …