Ordinary Least Squares (OLS) or Quasi-Maximum Likelihood Estimation (QMLE) of alternative conditional volatility models. Three … univariate conditional volatility models are considered, namely GARCH, GJR and EGARCH, in an attempt to capture the inherent … the estimated conditional mean of the tourism stock index returns, especially when conditional volatility is incorporated …

The three most popular univariate conditional volatility models are the generalized autoregressive conditional … on conditional volatility of positive and negative effects of equal magnitude, and leverage, which is the negative … appropriate regularity conditions; and (2) to show that leverage is not possible in these univariate conditional volatility models. …

and forecast conditional volatility of and correlations between daily returns of the seven selected Dow Jones Islamic and …

approach with conditional volatility models, we empirically examine in this article that the specification of conditional … that financial market data properties (i.e. asymmetric response of conditional volatility to return shocks and long …-range dependencies within the conditional volatility) may not be neglected within the computation of credit risk. Moreover, the influence …

time-varying volatility. In this paper, the estimation of conditional volatility is applied to Value at Risk measurement …. Univariate as well as multivariate concepts are presented for the estimation of the conditional volatility. …

The three most popular univariate conditional volatility models are the generalized autoregressive conditional … effects on conditional volatility of positive and negative effects of equal magnitude, and purportedly in capturing leverage … models; and (3) to present the interpretation of the parameters of the three popular univariate conditional volatility models …