heteroskedasticity. GARCH models have thus become very popular, given their ability to account for volatility clustering and, implicitly … weaknesses we apply GARCH-type models with alpha-stable innovations. The stable family of distributions constitutes a … GARCH(1,1) and a TGARCH(1,1) with symmetric stable shocks using as auxiliary model a GARCH(1,1) with skew-t innovations …

, South Africa, the UK, and the USA, both at the market and sectoral level in 2000-2010. Using multivariate GARCH models, our …

We consider the estimation of a large number of GARCH models, of the order of several hundreds. To achieve parsimony …

The purpose of this study is to test predictive performance of Asymmetric Normal Mixture Garch (NMAGARCH) and other … Garch models based on Kupiec and Christoffersen tests for Turkish equity market. The empirical results show that the … NMAGARCH perform better based on %99 CI out-of-sample forecasting Christoffersen test where Garch with normal and student …

, including symmetric and asymmetric distribution, and a family of GARCH volatility models. Our results on simulated data show …

), we documented GARCH effect in the trade model. Taking that into consideration, our result shows that real exchange rates …