suggest a superiority of the one-step method when the innovations are heavy-tailed. For standard GARCH models, the comparison …

Conditional quantile estimation is an essential ingredient in modern risk management. Although GARCH processes have … distributions. In this paper, we study estimation of conditional quantiles for GARCH models using quantile regression. Quantile … regression estimation of GARCH models is highly nonlinear; we propose a simple and effective two-step approach of quantile …

Estimation of GARCH models can be simplified by augmenting quasi-maximum likelihood (QML) estimation with variance … volatility equation and corresponding value-at-risk predictions. We find that most GARCH coefficients and associated predictions …

Estimation of GARCH models can be simplified by augmenting quasi-maximum likelihood (QML) estimation with variance … volatility equation and corresponding value-at-risk predictions. We find that most GARCH coefficients and associated predictions …