, we estimate two long memory models, the Fractional Integrated Asymmetric Power-ARCH and the Hyperbolic-GARCH with …

methods. The effects of several model characteristics(unit roots, GARCH, stochastic volatility, heavy tailed …

methods. The effects ofseveral modelcharacteristics (unit roots, GARCH, stochastic volatility, heavy taileddisturbance …

in a GARCH(1,1)-model, the paper reveals that significant increases in volatility only show up in the presence of …

of a daily risk-return tradeoff in the FX market based on the GARCH, realized, and range volatility estimators. The …

factor models with GARCH dynamics (GARCH(1,1)-M, IGARCH(1,1)-M, Nonlinear Asymmetrie GARCH(1,1)-M and Glosten …-Jagannathan-Runkle GARCH(1,1)-M) and three different distributions for the disturbances (Normal, Student's t and Generalized Error Distribution … compared with forecasts based on individual GARCH(1,1)-M models, static factor models, naive, random walk and exponential …