probability of a higher future volatility during the price formation. Starting from the ARCH models which were suggested by Engle …The volatility clustering observed in financial market data implies that large net yield shocks increase the … (1982), a range of models for conditional variances have been developed. In this analysis ARCH models and selected …

festzustellen, dass neuere Ansätze unter Einbeziehung von GARCH- oder CAViaR-Modellen methodische Schwächen der in der Praxis …