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

different industrial sectors. A competitive partial-equilibrium model with quadratic adjustment costs in investment and a GARCH … model, the GARCH property is inherited by the aggregate investment process in the rational-expectations equilibrium. The … conjectured, GARCH effects play an important role in some sectors but are not significant in others. Astonishingly, the volatility …

Slovakia) using GARCH and TARCH models between 1999 and 2004. We show that these countries tried to reduce volatility of the …

Bu çalışmada enflasyon ve büyümenin GARCH modelleri kullanılarak enflasyon, büyüme ve reel-nominal belirsizlikler …

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 …

In this paper the autocorrelation structure of the Exponential GARCH(p,q) process of Nelson (1991) is considered … and compared to those of the standard GARCH(p,q) process. In particular, it is seen that, the EGARCH(p,q) model has a … richer autocorrelation structure than the standard GARCH(p,q) one. The statistical theory is further illustrated by a few …

heteroskedastic environment. This is done by a simulation procedure where asset returns are generated from a GARCH (1,1)-t model. In … shown that the variance of the returns on the hedged position is considerably higher in a GARCH (1,1) environment than in a …