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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

Modelling energy spot prices : empirical evidence from NYMEX

Nomikos, Nikos K.; Andriosopoulos, Kostas - In: Energy economics 34 (2012) 4, pp. 1153-1169

Persistent link: https://www.econbiz.de/10009688111

Modelling the volatility of the Dow Jones Islamic Market World Index using a fractionally integrated time-varying GARCH (FITVGARCH) model

Nasr, Adnen Ben; Ajmi, Ahdi Noomen; Gupta, Rangan - In: Applied financial economics 24 (2014) 13/15, pp. 993-1004

Persistent link: https://www.econbiz.de/10010415355

Discussions on the Zero-drift GARCH model : evidence from an Markov regime-switching extension

Feng, Lingbing; Fu, Tong; Shi, Yanlin; Wang, Zili - In: Finance research letters 40 (2021), pp. 1-8

Persistent link: https://www.econbiz.de/10012819431

FX market volatility modelling : can we use low-frequency data?

Lyócsa, Štefan; Plíhal, Tomáš; Výrost, Tomáš - In: Finance research letters 40 (2021), pp. 1-16

Persistent link: https://www.econbiz.de/10012820071

Structural clustering of volatility regimes for dynamic trading strategies

Prakash, Arjun; James, Nick; Menzies, Max; Francis, Gilad - In: Applied mathematical finance 28 (2021) 3, pp. 236-274

Persistent link: https://www.econbiz.de/10013171071

Modelling volatility persistence and asymmetry of Naira-Dollar exchange rate

Oyinlola, Mutiu Abimola - In: CBN journal of applied statistics 9 (2018) 1, pp. 141-165

This paper modelled the volatility persistence and asymmetry of naira-dollar exchange rate in interbank and Bureau de Change (BDC) using monthly data between January 2004 and November 2017. The study employed Generalized Autoregressive Conditional Heteroscedasticity [GARCH (1,1)], Thresh- old...

Persistent link: https://www.econbiz.de/10011922750

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

On mutual funds-of-ETFs asset allocation with rebalancing : sample covariance versus EWMA and GARCH

Xidonas, Panos; Tsionas, Mike; Zopounidis, Constantin - 2020

Persistent link: https://www.econbiz.de/10012165614