of ARCH effect has been tried to predict with conditional variance models such as ARCH (1), ARCH (2), ARCH (3), GARCH (1 …,1), GARCH (1,2), GARCH (1,3), GARCH (2,1), GARCH (2,2), EGARCH (1,1) and EGARCH (1,2). While the obtained findings indicate that … the best model is in the direction of GARCH (1,1) according to Akaike info criterion, it was found that GARCH (1,1) model …

Volatility (SV) and Generalised Autoregressive Conditional Heteroskedasticity (GARCH) models which are both extended to include … outperforms the GARCH model. …

This paper attempts to fit the best Generalized Autoregressive Conditional Heteroscedastic (GARCH) model for All Share … Index (ASI) of Nigerian Stock Exchange (NSE) returns. A search is made on various GARCH variants specified on the … and non-normality of GARCH innovations, with models and forecasts evaluated using information criteria and loss functions …

Volatility (SV) and Generalised Autoregressive Conditional Heteroskedasticity (GARCH) models which are both extended to include … outperforms the GARCH model. …

traditional GARCH-type models (GARCH and GJR-GARCH) the two-regime Markov Switching GARCHtype models (MS-GARCH and MS-GJR-GARCH … persistence of individual markets which substantially differed across the both regimes. Furthermore, the GJR-GARCH and MS-GJR-GARCH … models clearly confirmed the presence of the leverage effect. Consideration of the MS-GARCH-type models enabled to capture …

the best fitting model among SGARCH, EGARCH and GJR-GARCH. In a bid to account for the dynamic and persistent nature of …

autoregressive conditional heteroskedasticity (GARCH)–class models in terms of their in-sample and out-of-sample forecasting accuracy … 2015. The results suggest that the Asymmetric Power of ARCH (APARCH) model is the most accurate model in the GARCH class …

September 2012. This captures the impact of the Global Financial Crisis (GFC). The GARCH analysis features an exploration of … US. We also apply a Markov Switching GARCH model to explore the existence of regime changes during this period and we … also apply a tri-variate Cholesky-GARCH model to include potential effects from the Chinese market, as represented by the …