The regime switching models are particularly popular in the comity of non-linear models; it is of interest to investigate regime switching models with GARCH specification. GARCH model was augmented with STAR model vis-a vis Exponential autoregressive GARCH (EAR-GARCH), Exponential smooth...

This study provides analytical insight on modelling macroeconomic and oil price volatility in Nigeria. Mainly, the paper employed GARCH model and its variants (GARCH-M, EGARCH and TGARCH) with daily, monthly and quarterly data. The findings reveal that: all the macroeconomic variables considered...

In recent years fractionally differenced processes have received a great deal of attention due to its flexibility in financial applications with long memory. This paper considers a class of models generated by Gegenbauer polynomials, incorporating the long memory in stochastic volatility (SV)...