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

-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 …

: Germany, United Kingdom, China, Russia, and Turkey. MARMA, GARCH, GARCH-in-mean, and exponential GARCH (EGARCH) methodologies …

managers. This study is conducted to analyze the volatility clustering and asymmetry occurrence by employing different GARCH … estimated the analytical competence of GARCH models and found that GJR-GARCH and EGARCH executed better results than GARCH (p, q …) in RDCs stock markets. It also shows that GJR-GARCH and EGAECH explain the asymmetric behavior along with an accurate …

, 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 …

run association is explored using VECM model. The volatility spillover dynamics is examined using the GARCH and EGARCH …

GARCH by developed Engle and Bollerslev (1986) and EGARCH by Nelson (1991) methodologies, the paper empirically assessed the …

generalised autoregressive conditional heteroskedasticity (GARCH) model and extend the analysis using the exponential GARCH … than the GARCH model in estimating the volatility of the Australian stock returns. However, another interesting finding is …

-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 …

, the Johansen-Juselius cointegration test, generalized autoregressive conditional heteroskedasticity (GARCH) model … stock market returns in both sub-periods, while the result for the GARCH model is significant only in the post-crisis period …. We find a significant effect of oil price volatility on the stock market in both sub-periods from the GARCH model …