Conditional returns distributions generated by a GARCH process, which are important for many problems in market risk … moments of GARCH returns distributions in several ways: we consider a general GARCH model – the GJR specification with a … specific GARCH models largely used in practice are recovered as special cases; we derive the limits of these moments as the …

produced by GARCH-based models are excessive. Therefore we encourage hedgers to use a na ¨ive hedging strategy on the crack … majority of the existing literature, which favours the implementation of GARCH-based hedging strategies. …

specified GARCH process. But when the forecast horizon is greater than the frequency of the GARCH model, such predictions have …-analytic GARCH VaR calculations can be based on new formulae for the first four moments of aggregated GARCH returns. Our extensive … moments of normal and Student t, symmetric and asymmetric (GJR) GARCH processes to returns data on different financial assets …

GARCH option pricing models have the advantage of a well-established econometric foundation. However, multiple states … need to be introduced as single state GARCH and even Levy processes are unable to explain the term structure of the moments … of financial data. We show that the continuous time version of the Markov switching GARCH(1,1) process is a stochastic …

-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. …