application to a GARCH-model demonstrates the approach in practice by estimating actual rates of convergence through a large scale …

The paper considers the Markov-Switching GARCH(1,1)-model with time-varying transition probabilities. It derives … empirical observation that estimated GARCH-parameters often sum to almost one. …

factor models with GARCH dynamics (GARCH(1,1)-M, IGARCH(1,1)-M, Nonlinear Asymmetrie GARCH(1,1)-M and Glosten …-Jagannathan-Runkle GARCH(1,1)-M) and three different distributions for the disturbances (Normal, Student's t and Generalized Error Distribution … compared with forecasts based on individual GARCH(1,1)-M models, static factor models, naive, random walk and exponential …

This paper is concerned with efficient GMM estimation and inference in GARCH models. Sufficient conditions for the … estimator to be consistent and asymptotically normal are established for the GARCH(1,1) conditional variance process. In … addition efficiency results are obtained in the general framework of the GARCH(1,1)-M regression model. …

parsimonious and effective GARCH(1,1) model with Student-t innovations. The estimation procedure is fully automatic and thus avoids …