BEKK-GARCH model to estimate time-varying conditional correlations. Gold plays an important role in financial markets with …

original empirical time series, but also with the simulated results from the corresponding Brownian Motion and GARCH processes … wavelet scalograms, we demonstrate that the MMAR outperforms both the GBM and GARCH(1,1) in time-frequency comparisons, in … attributes of the empirical distributions, while the simulated GBM and GARCH(1,1) processes cannot preserve the thick-tails, high …

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. …

It has long been known that the estimated persistence parameter in the GARCH(1,1) - model is biased upwards when the …

In this paper, we focus on three daily exchange rate returns dynamics. Indeed, we have assessed five GARCH-class models …

conditional volatility of oil spot and futures prices using three GARCH-type models, i.e., linear GARCH, GARCH with structural … GARCH-based conditional volatility processes for energy prices. Second, long memory is effectively present in all the series …