We develop a Markov-switching GARCH model (MS-GARCH) wherein the conditional mean and variance switch in time from one … GARCH process to another. The switching is governed by a hidden Markov chain. We provide sufficient conditions for geometric …

but effective GARCH(1,1) model with Student-t innovations. The estimation procedure is fully automatic and thus avoids the …

models of the GARCH family and models of stochastic volatility (SV). Most model selection and performance criteria suggest …

We investigate several aspects of GARCH(p,q) models which are relevant for empirical applications. In particular, we … note that the inclusion of a dummy variable as regressor can lead to multimodality in the GARCH likelihood. This makes … on the GARCH parameter space. We present a small refinement to the Nelson-Cao (1992) conditions for a GARCH(2,q) model …

models T-ARCH and GARCH. …

components model, where each component can follow a GARCH type process. In general, the main findings of the empirical exercise …

-neutrality. For comparison, GARCH, EGARCH, and FIEGARCH models are estimated using daily returns, where option prices are derived by …

emissions trading market. Based on the application of a combined jump-GARCH model the behavior of EUA prices is characterized …. The jump-GARCH model explains the unsteady carbon price movement well and, moreover, shows that between 40 and 60 percent …

, Hungary and Poland) and South Eastern Europe (Croatia, Macedonia and Serbia) using multivariate GARCH models in 2006 …