April 2004 and December 2008. Estimates of baseline time series models (ARMAX and ARMAX-EGARCH) and their forecasting …

a simple model, based on an ARMA representation of the log-transformed squared returns, that allows to estimate current … that the ARMA and SV models have a similar performance, but that in cases of moderate persistence the ARMA model is … preferable. An extension of the ARMA model is proposed that takes into account the so-called leverage effect. Finally, the …

April 2004 and December 2008. Estimates of baseline time series models (ARMAX and ARMAX-EGARCH) and their forecasting …

Estimation of log-GARCH models via the ARMA representation is attractive because it enables a vast amount of already … established results in the ARMA literature. We propose an exponential Chi-squared QMLE for log-GARCH models via the ARMA …

April 2004 and December 2008. Estimates of baseline time series models (ARMAX and ARMAX-EGARCH) and their forecasting …