(GARCH), asymmetric power ARCH (APARCH), exponential generalized autoregressive conditional heteroscedstic (EGARCH …-of-sample volatility forecasting, AR(2)–GARCH(1, 1) is considered the best. …

-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 …

positive signal for future system stability, it also evidences that the widely used GARCH and DCC specifications turn to be …

estimator. The OLS regression with the HAC covariance matrix estimation and the GARCH-type models are employed toexplore the …

Linear GARCH(1,1) and threshold GARCH(1,1) processes are established as regularly varying, meaning their heavy tails … considered a stylized fact for many financial returns assumed to follow GARCH-type processes. The result in this note aids in … establishing the asymptotic properties of certain GARCH estimators proposed in the literature …

traditional GARCH-type models (GARCH and GJR-GARCH) the two-regime Markov Switching GARCHtype models (MS-GARCH and MS-GJR-GARCH … persistence of individual markets which substantially differed across the both regimes. Furthermore, the GJR-GARCH and MS-GJR-GARCH … models clearly confirmed the presence of the leverage effect. Consideration of the MS-GARCH-type models enabled to capture …