traditional GARCH-type models (GARCH and GJR-GARCH) the two-regime Markov Switching GARCHtype models (MS-GARCH and MS-GJR-GARCH … persistence of individual markets which substantially differed across the both regimes. Furthermore, the GJR-GARCH and MS-GJR-GARCH … models clearly confirmed the presence of the leverage effect. Consideration of the MS-GARCH-type models enabled to capture …

-19 pandemic. We applied the GARCH (1, 1), GJR-GARCH (1, 1), and EGARCH (1, 1) econometric models on the daily time series … and for the whole period, each GARCH family evenly models the volatile behavior of the six financial markets. This study …

GARCH model, where the GARCH equations are time-varying. The alternative to constancy is that the correlations change …

select the best model. We propose various generalized autoregressive conditional heteroscedasticity (GARCH) family models …, including an sGARCH(1,1), GJR-GARCH(1,1), TGARCH(1,1), EGARCH(1,1), which we compare to a multivariate DCC-GARCH(1,1) model to … demonstrate that the univariate GJR-GARCH model (1,1) shows a superior predictive accuracy at all horizons, followed closely by …