This paper examines exchange-rate volatility with GARCH models using monthly exchange-rate return series from 1985:1 to … compare estimates of variants of GARCH models with break in respect of the US dollar rates with exogenously determined break … estimation of volatility models with breaks as against those of GARCH models without volatility breaks and that the introduction …

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 …

When the ARMA-GARCH model errors lack a finite fourth moment, the asymptotic distribution of the quasi …, simulations show that the conventional bootstrap, despite its inconsistency, provides accurate confidence intervals for ARMA-GARCH … intervals for ARMA-GARCH VaR. According to theory, this `omnibus' method produces confidence intervals with asymptotically …

quarterly basis - for commonly used GARCH models in a large-scale study, using more than twelve years (2000-2012) of daily … following conclusions. First, updating the parameter estimates of the GARCH equation on a daily frequency improves only … overlap, reflecting that the performance is not significantly different. Second, the asymmetric GARCH model with non …

The aim of this paper is to derive a coherent risk measure for heavy tailed GARCH processes using extreme value theory …

The aim of this paper is to derive a coherent risk measure for heavy tailed GARCH processes using extreme value theory …

The aim of this paper is to derive a coherent risk measure for heavy tailed GARCH processes using extreme value theory …

Linear GARCH(1,1) and GJR GARCH(1,1) processes are established as regularly varying, meaning their heavy tails follow a …) financial returns to display strong GARCH effects. A joint, exactly-identified method-of-moments estimator is proposed for the … parameters of these GARCH processes that includes the tail index, and the asymptotic properties of this estimator are determined …