This paper applies a new spatial approach for the specfication of multivariate GARCH models, called Spatial Effects in … parametrization extends current feasible specifications for large scale GARCH models, keeping the numbers of parameters linear as a …

The volatility clustering often seen in financial data has increased the interest of researchers in applying good … models to measure and forecast stock returns. This paper aims to model the volatility for daily and weekly returns of the … Portuguese Stock Index PSI-20. By using simple GARCH, GARCH-M, Exponential GARCH (EGARCH) and Threshold ARCH (TARCH) models, we …

principal index of the London Stock Exchange supports our model when compared to other frequently used GARCH-type models, which …

, there have been no studies which have used the GARCH methodology to study export volatility. This paper fills the void. It …There have been numerous studies on the relationship between volatility of exports and economic growth. Most of these … uses quarterly data for the Philippines and Thailand to study the effects of export volatility. We find that for both …

Distributions Hypothesis (MDH), which tests the GARCH vs. Volume effect, is also studied between the conditional volatility and …

the very same day), or dynamic/lagged (with one day lag). A GARCH (1,1) model of modelling volatility has been undertaken … volatility from one capital market to another. This study aims to understand the spillover effect between the US, the Japan … capital markets and Indian equity index (Sensex). We analyze whether the volatility spillover is contemporaneous (directly in …

paper investigates the volatility of prices received by pig producers after the FMD focus were found. Using a GARCH model …, including a variable indicating FMD events, we cannot reject the hypothesis that the disease caused high pork price volatility … volatility, which brings about instability to businesses and to pig producers income. …

and values of past volatilities. We consider a class of ARCH-type models as a special case of GARCH models and its … extension GARCH-M  Stationarity, estimation procedures, and LM tests are discussed. Further, we apply the models to financial …

This article addresses the problem of forecasting portfolio value-at-risk (VaR) with multivariate GARCH models vis …

We use an information-theoretic approach to interpret Engle's (1982) and Bollerslev's (1986) GARCH model as a model for … may be generalized, if we use alternative measures of volatility. We choose one feasible alternative and derive a … generalized volatility model. Applying this model to some exemplary market indices, we are able to give some empirical evidence …