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. …

-day periods are considered. It is studies whether the same GARCH type model can be applied for the whole period, or whether the …

for main indices from stock exchanges was conducted. The VaR forecasts from GARCH(1,1), GARCH-t(1,1), GARCH-st(1,1), QML-GARCH … volatility trend. However, GARCH-st (1,1) and QML-GARCH(1,1) were found to be the most robust models in the different volatility …

cryptocurrencies, i.e. Bitcoin, Ethereum, Ripple and Litecoin. More than 1,000 GARCH models are fitted to the log returns of the … well as using a Model Confidence Set (MCS) procedure for their loss functions. The results imply that using standard GARCH …

-Maximum Likelihood Estimator for a general nonlinear conditional mean model with first-order GARCH errors. …

heteroscedasticity GARCH (1, 1) model. Also, to control if political uncertainty before the elections influences the return of MBI 10, a …

nonlinear volatility models (symmetric and asymmetric Generalized AutoRegressive Conditional Heteroskedasticity [GARCH …