investigated the sources of heavy tails by estimating autoregressive models in which innovations can be subject to GARCH effects … both within- and out-of-sample. We found strong evidence in favour of modelling both GARCH effects and non …

in different ways to mirror the behavior of stocks on the Stockholm Stock Exchange. We find AR-GARCH parameter estimates …

the Sharpe ratio from the ARMA-GARCH model and finds that the Sharpe ratio just depends on the coefficients of the AR and … MA terms and is not affected by the GARCH process. For empirical purposes, the Sharpe ratio can be formulated with a … author also constructs empirical AR-GARCH models and computes the Sharpe ratio for S&P 500 Index and the SSE Composite Index. …

estimate an autoregressive model with GARCH effects and non-Gaussian disturbances. Our results indicate that i) accounting for …

investigate the sources of heavy tails by estimating autoregressive models in which innovations can be subject to GARCH effects … assessed both within- and out-of-sample. We find strong evidence in favour of modelling both GARCH effects and non …

such as Generalized Autoregressive Conditional Heteroskedastic (GARCH), Generalized Autoregressive Score (GAS), and … inclusion of exogenous variables is beneficial for GARCH-type models while offering only a marginal improvement for GAS and SV …

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