likelihood estimator in addition to the GARCH (p, q model) to estimate the steady state model of inflation. As a measure of … volatility, the conditional standard deviation for inflation was obtained from the GARCH model. Inflation expectation was solved …

This paper utilizes calculated historical volatility and GARCH models to compare the historical price volatility … behavior of crude oil, motor gasoline and heating oil in U.S. markets since 1990. We incorporate a shift variable in the GARCH … 1999. Second, volatility shocks from current news are not important since GARCH effects dominate ARCH effects in the …

This paper examines the supply response of the Greek pork market. A GARCH process is used to estimate expected price … and price volatility, while price and supply equations are estimated jointly. In addition to the standard GARCH model …, several different symmetric, asymmetric, and nonlinear GARCH models are estimated. The empirical results indicate that among …