using GARCH models that include the day‐of‐the‐week effect and the stock‐market index as explanatory variables. This … starts with a CAPM model and continues with GARCH(1,1), TGARCH(1,1) and EGARCH(1,1) models for each of the REIT subcategories … except the equity REIT series without the dummy variables that is better described with the GARCH. The stock market has a …

-19 pandemic. We applied the GARCH (1, 1), GJR-GARCH (1, 1), and EGARCH (1, 1) econometric models on the daily time series … and for the whole period, each GARCH family evenly models the volatile behavior of the six financial markets. This study …

-correction method can improve the n-GARCH and n-EGARCH VaR forecasts so much that the acquired VaR predictions are different from the … distribution instead of GARCH improves the performance of the bias-correction method in forecasting the VaR for almost all …

generalized autoregressive conditional heteroscedasticity (GARCH) models are applied. Macroeconomic shocks (GDP, ZEW, IFO, factory …

, namely, GARCH (1,1), GJR (1,1) and EGARCH (1,1), are used to estimate the abnormal rate of change in the number of tourists …