This paper considers the moments of a family of first-order GARCH processes. First, a general condition of the existence of any integer moment of the absolute values of the observations is given. Second, a general expression for this moment as a function of lower-order moments is derived. Third,...

This paper investigates conditional variance patterns in daily return series of stock market indices in the G-7 and 6 selected economies of Central and Eastern Europe. For this purpose, various linear and asymmetric GARCH models are employed. The analysis is conducted for Canada, France,...

This paper examines volatility in UK Long Gilt and Short Sterling futures over several intra-day frequencies. Initial GARCH model estimates are found to exhibit remaining residual structure and to be inconsistent with theoretical temporal aggregation results for all frequencies other than the...

In this article, we investigate conditional mean and variance forecasts using a dynamic model following a k-factor GIGARCH process. We are particularly interested in calculating the conditional variance of the prediction error. We apply this method to electricity prices and test spot prices...

In this article, we investigate conditional mean and variance forecasts using a dynamic model following a k-factor GIGARCH process. We are particularly interested in calculating the conditional variance of the prediction error. We apply this method to electricity prices and test spot prices...

This paper attempts to determine the relationship between conditional stock market volatility and macroeconomic volatility using monthly data for Turkey from 1986 to 2003. The macroeconomic variables used include industrial production, the money supply M1, inflation, an exchange rate variable,...