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

, namely, GARCH (1,1), GJR (1,1) and EGARCH (1,1), are used to estimate the abnormal rate of change in the number of tourists …

Linear GARCH(1,1) and threshold GARCH(1,1) processes are established as regularly varying, meaning their heavy tails … considered a stylized fact for many financial returns assumed to follow GARCH-type processes. The result in this note aids in … establishing the asymptotic properties of certain GARCH estimators proposed in the literature …

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 …

traditional GARCH-type models (GARCH and GJR-GARCH) the two-regime Markov Switching GARCHtype models (MS-GARCH and MS-GJR-GARCH … persistence of individual markets which substantially differed across the both regimes. Furthermore, the GJR-GARCH and MS-GJR-GARCH … models clearly confirmed the presence of the leverage effect. Consideration of the MS-GARCH-type models enabled to capture …

/methodology/approach - The copula-based GARCH (1,1) and minimum spanning tree models are used in this study to analyze 14 series of stock market … pandemic. Moreover, the study fills the literature gap by combining the copula-based GARCH and the minimum spanning tree models …

of ARCH effect has been tried to predict with conditional variance models such as ARCH (1), ARCH (2), ARCH (3), GARCH (1 …,1), GARCH (1,2), GARCH (1,3), GARCH (2,1), GARCH (2,2), EGARCH (1,1) and EGARCH (1,2). While the obtained findings indicate that … the best model is in the direction of GARCH (1,1) according to Akaike info criterion, it was found that GARCH (1,1) model …

We consider a family of GARCH(1,1) processes introduced in He and Teräsvirta (1999a). This family contains various … popular GARCH models as special cases. A necessary and sufficient condition for the existence of a strictly stationary … solution is given. -- GARCH ; strict stationarity ; Lyapunov exponent …