quarterly basis - for commonly used GARCH models in a large-scale study, using more than twelve years (2000-2012) of daily … following conclusions. First, updating the parameter estimates of the GARCH equation on a daily frequency improves only … overlap, reflecting that the performance is not significantly different. Second, the asymmetric GARCH model with non …

This paper proposes a bootstrap unit root test in models with GARCH(1,1) errors and establishes its asymptotic validity … for a wide range of GARCH specifications. …

In this paper I present two new Lagrange multiplier test statistics designed for testing the null of GARCH (1 …,1), against the alternative of asymmetric GARCH. For one test the alternative is the generalized QARCH (1,1) model of Sentana … [1995], and for the other the alternative is the logistic smooth transition GARCH (1,1) model of Hagerud [1996], and …

market portfolio;The specification of ARMA-GARCH helps capture fairly well issues such as serial correlations and fat …

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. …

This paper presents a GARCH type volatility model with a time-varying unconditional volatility which is a function of … macroeconomic information. It is an extension of the SPLINE GARCH model proposed by Engle and Rangel (2005). The advantage of the … proposed here can lead to significantly improved volatility forecasts compared to traditional GARCH type volatility models. …

over a small time frame (e.g., a crisis period). We apply our method to test GARCH model specifications for a large panel …

) ARCH, GARCH and ARCH-in-mean alternatives; (2) the case where the variance increases monotonically with: (i) one exogenous … expériences de Monte Carlo que nous effectuons portent sur: (1) les alternatives de type ARCH, GARCH and ARCH-en-moyenne; (2) le …

This paper investigates the presence of asymmetric GARCH effects in a number of equity return series, and compare the … modeling performance of seven different conditional variance models, within the parametric GARCH class of models. The data …