we fit a GARCH(l,l)-model with leptokurtic innovations. Its parameters are not stable over the sample period and two …

This paper studies the dynamic behavior of daily oil prices and finds strong evidenceof GARCH as well as conditional …

Both unconditional mixed-normal distributions and GARCH models with fat-tailed conditional distributions have been … employed for modeling financial return data. We consider a mixed-normal distribution coupled with a GARCH-type structure which …

, such as GARCH models, are investigated, to determine if they are more appropriate for predicting future return volatility …

Forecasters (SPF) in the US. Incorporating SPF consensus forecasts into the conditional mean of an AR-GARCH type model …

trading as a policy measure. Applying combined jump GARCH models yields strong evidence of conditional jump behavior. This …

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 …

The paper considers the Markov-Switching GARCH(1,1)-model with time-varying transition probabilities. It derives su … observation that estimated GARCH-parameters often sum to almost one. …

Using unobservable conditional variance as measure, latent-variable approaches, such as GARCH and stochastic …

) forecasting ability of the normal-GARCH model. Compared to the use of more sophisticated GARCH models, the new method is fast …