GARCH-type models have been very successful in describing the volatility dynamics of financial return series for short … persistence or shock term in a GARCH model, conditional on their relative ability to forecast a benchmark volatility measure, the … switching reinforces the persistent nature of the GARCH model. Estimation of this benchmark volatility targeting or BVTGARCH …

GARCH-type models have been very successful in describing the volatility dynamics of financial return series for short … persistence or shock term in a GARCH model, conditional on their relative ability to forecast a benchmark volatility measure, the … switching reinforces the persistent nature of the GARCH model. Estimation of this volatility targeting or VT-GARCH model for Dow …

simplifies to a GARCH-type specification with time-varying parameters. Estimation results for DAX30 index options reveal that … different types of traders are actively involved in trading volatility. Our model improves frequently used standard GARCH …

case of the GARCH(1,1)-Student-t model the average VaR may be adjusted for parameter uncertainty to arrive at levels which …

. Surprisingly, we find that the GARCH structural credit risk model, despite its more sophisticated modeling approach, typically … underperforms more basic models. Importantly for macro-prudential policy, the combined Merton/GARCH-MIDAS model performs best and …