a simple model, based on an ARMA representation of the log-transformed squared returns, that allows to estimate current … that the ARMA and SV models have a similar performance, but that in cases of moderate persistence the ARMA model is … preferable. An extension of the ARMA model is proposed that takes into account the so-called leverage effect. Finally, the …

April 2004 and December 2008. Estimates of baseline time series models (ARMAX and ARMAX-EGARCH) and their forecasting …

autoregressive conditional heteroskedasticity-autoregressive moving average (EGARCH-ARMA) for the defined asset classes. Daily spot … that the EGARCH-ARMA model is superior to the ARMA model in forecasting market returns. Several diagnostic tests were … research, we also compared the forecasting performance of autoregressive moving average (ARMA) and exponential generalised …

Estimation of log-GARCH models via the ARMA representation is attractive because it enables a vast amount of already … established results in the ARMA literature. We propose an exponential Chi-squared QMLE for log-GARCH models via the ARMA …

April 2004 and December 2008. Estimates of baseline time series models (ARMAX and ARMAX-EGARCH) and their forecasting …

the iterated-cumulative-sum-of-squares-in-volatility (ICSS-EGARCH-M) model, a new approach in market efficiency studies …

ARCH (EGARCH) for this purpose, it further examines the degree to which innovations exert an asymmetric impact on the …