This paper studies the efficiency of an econometric model where the volatility is modeled by a GARCH (1,1) process, and …

Smooth Transition GARCH and the Markov-Switching GARCH models. Simulation experiments reveal that information criteria and …

heteroskedasticity. GARCH models have thus become very popular, given their ability to account for volatility clustering and, implicitly … weaknesses we apply GARCH-type models with alpha-stable innovations. The stable family of distributions constitutes a … GARCH(1,1) and a TGARCH(1,1) with symmetric stable shocks using as auxiliary model a GARCH(1,1) with skew-t innovations …

the very same day), or dynamic/lagged (with one day lag). A GARCH (1,1) model of modelling volatility has been undertaken …

the asymptotic properties of the two approaches. Their performances are compared for finite-order GARCH models and for the … infinite ARCH. For the standard GARCH(p, q) and the Asymmetric Power GARCH(p,q), it is shown that the ARE of the estimators …

Heteroskedasticity (GARCH) model of Bollerslev (1986) with the Exponential Generalized Autoregressive Conditional Heteroskedasticity …

forecast errors estimated by a GARCH model. The new measure is based on both common and private information available to …