described by a low-order ARIMA model, with a parcimonious GARCH specification of the conditional variance. These ARIMA models …

The GARCH(1,1) model and its extensions have become a standard econometric tool for modeling volatility dynamics of … financial returns and port-folio risk. In this paper, we propose an adjustment of GARCH implied conditional value-at-risk and … comparisons for a set of 18 stock market indices. In total, four competing copula-GARCH models are contrasted against each other …

mentioned, and various extensions of the standard GARCH model are highlighted. This includes the Exponential GARCH model …

aggregation of GARCH processes of Drost and Nijman (1993). Using Swedish data, our estimation method produces an overall larger …

uncertainty in five European countries. Using the GARCH methodology to proxy uncertainty, we obtain two important results. First …

to different models including a GARCH specification for the conditional variance of log(RV). …

highly dependent on the magnitude of shocks themselves. Markov-Switching GARCH (MS-GARCH) models are a valuable tool for … dynamics, it is here suggested to use a modification of the component GARCH model proposed by Ding and Granger (1996) in which … lagged values of the conditional standard deviation. Differently from MS-GARCH models, likelihood based inference for the …