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 …

investigated. By using the TGARCH and DCC GARCH model, the evidence is found that there are spillovers between the S&P 500 and …

) outperforms traditional GARCH models for short-term forecasting horizons, indicating its potential as an alternative forecasting …

adopted the recent DCC-GARCH-CONNECTEDNESS approach proposed by Gabauer (2020) to conduct a time-varying analysis that …

classified as short memory (GARCH, EGARCH, GJR-GARCH, APARCH) and long memory (FIGARCH, FIEGARCH, FIAPARCH, HYGARCH) considering …