rates for the WIG-20 index from 1999-2011. Then, on their basis we estimates various types of ARIMA-GARCH (1,1) models …

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

dynamics of intraday returns. Two parametric GARCH-type jump models which explicitly incorporate both news arrival and news … other postulating the GARCH component channel. In order to give the most-likely format of the interactions between news … arrival and stock market behaviors, these two models are compared with several other easier versions of GARCH-type models …

SE jeweils mit einem einfachen gewichteten Durchschnitt, exponentiell gewichteten Durchschnitt, GARCH- und T-GARCH … estimation through a simple moving average, an exponentially weighted average, a GARCH-, and a T-GARCH-Model. We find that the …

heteroskedasticity (GARCH) models capture extreme events in stock market returns. We estimate Hill's tail indexes for individual S&P 500 … stock market returns ranging from 1995-2014 and compare these to the tail indexes produced by simulating GARCH models. Our … results suggest that actual and simulated values differ greatly for GARCH models with normal conditional distributions, which …

In this paper we compared two distinct volatility forecasting approaches. GARCH models were contrasted to the models …

for conditional heteroskedasticity; a favored model is Dynamic Conditional Correlation (DCC), derived from the ARCH/GARCH …