The general-to-specific (GETS) methodology is widely employed in the modelling of economic series, but less so in financial volatility modelling due to computational complexity when many explanatory variables are involved. This study proposes a simple way of avoiding this problem when the...

The general-to-specific (GETS) methodology is widely employed in the modelling of economic series, but less so in financial volatility modelling, due to its computational complexity when many explanatory variables are involved. This study proposes a simple way of avoiding this problem when the...

Exponential models of autoregressive conditional heteroscedasticity (ARCH) are attractive in empirical analysis because they guarantee the non-negativity of volatility, and because they enable richer autoregressive dynamics. However, the currently available models exhibit stability only for a...