-- Chapter 4: Unit Root and Stationarity Tests -- Chapter 5: Structural Breaks and Non-Stationairty -- Chapter 6: ARCH, GARCH and …

-stationarity and ARIMA(p,d,q) processes -- Seasonal ARMA(p,q) processe -- Unit root tests -- Structural Breaks -- ARCH, GARCH and Time …

bivariaten GARCH (1,1), der bezüglich Anpassung und Vorhersage gut für Finanzmarktdaten geeignet ist. Um einen Eindruck über den … inferenzstatistische Methoden für Erwartungswerte und Varianzen. Es zeigt sich, dass Varianzprozeduren durch GARCH (1,1) stark beeinflusst …

price volatility, and compares their forecasting performance to the standard GARCH, fractionally integrated GARCH (FIGARCH …) and the two-state Markov-switching GARCH (MS-GARCH) models via three loss functions (the mean squared error, the mean … criteria and forecast horizons, while MS-GARCH mostly comes out as the least successful model. Applying various VaR backtesting …