At the end of each year, the Congressional Budget Office (CBO) estimates capital gains for the year ending and forecasts them for the next decade. The decade forecast is made using CBO’s forecast of GDP and an assumption that gains revert from their current size to their historical size...

The purpose of this paper is the theoretical and empirical comparison of alternative GARCH-in-mean models. We examine three GARCH specifications: Bollerslev's (1986) GARCH model, Taylor (1986) - Schwert's (1989) GARCH model, and Nelson's (1991) Exponential GARCH model. In addition, we employ...

This paper considers the moment structure of the ARMA(r,s)-EGARCH(p,q) model. In particular, we provide the autocorrelation function and any arbitrary moment of the conditional variance/squared errors. In addition, we derive the cross correlations between the process and the conditional...