forecasting horizons. Therefore, a long memory volatility model compared to a short memory GARCH model does not appear to improve …The present study compares the performance of the long memory FIGARCH model, with that of the short memory GARCH …-ahead forecasting horizons relative to the short memory GARCH specification. Additionally, the results suggest that underestimation of …

employed in a bivariate GARCH model, where the joint distribution of the disturbances is split into its marginals and its …-dependent distribution. -- value-at-risk ; copula ; non-normal bivariate GARCH ; asymmetric dependence ; profile likelihood-ratio test …

The use of GARCH models with stable Paretian innovations in financial modeling has been recently suggested in the … Student's t GARCH models. …