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An introduction to univariate GARCH models

Teräsvirta, Timo - 2006

This paper contains a survey of univariate models of conditional heteroskedasticity. The classical ARCH model is mentioned, and various extensions of the standard GARCH model are highlighted. This includes the Exponential GARCH model. Stochastic volatility models remain outside this review.

Persistent link: https://www.econbiz.de/10010281357

Forecasting exchange rate volatility : GARCH models versus implied volatility forecasts

Pilbeam, Keith; Langeland, Kjell Noralf - In: International economics and economic policy : IEEP 12 (2015) 1, pp. 127-142

Persistent link: https://www.econbiz.de/10011375830

Forecasting energy futures volatility based on the unbiased extreme value volatility estimator

Kumar, Dilip - In: IIMB management review 29 (2017) 4, pp. 294-310

Persistent link: https://www.econbiz.de/10011879691

Long range dependence in an emerging stock market's sectors : volatility modelling and VaR forecasting

Abuzayed, Bana; Al-Fayoumi, Nedal; Charfeddine, Lanouar - In: Applied economics 50 (2018) 23, pp. 2569-2599

Persistent link: https://www.econbiz.de/10011850296

Deep learning volatility : a deep neural network perspective on pricing and calibration in (rough) volatility models

Horvath, Blanka Nora; Muguruza, Aitor; Tomas, Mehdi - In: Quantitative finance 21 (2021) 1, pp. 11-27

Persistent link: https://www.econbiz.de/10012424629

Sudden changes in crude oil price volatility : an application of extreme value volatility estimator

Kumar, Dilip - In: American journal of finance and accounting 4 (2015/2016) 3/4, pp. 215-234

Persistent link: https://www.econbiz.de/10011713524

Revisiting the auto-regressive integrated moving average approach to modelling volatility using Bahrain all share index daily returns

Doblas, Mark P.; Natarajan, Vinodh Kesavaraj; Sankar, … - In: Middle East journal of management : MEJM 10 (2023) 6, pp. 619-636

Persistent link: https://www.econbiz.de/10014424552