, and, although it outperforms representative GARCH models, it does so with greater complexity and data intensiveness that … may not be worthwhile relative to GARCH's simplicity and flexibility. …

univariate ARCH-type models including the GARCH, EGARCH, GJR, APARCH, IGARCH, FIGARCH, FIEGARCH and FIAPARCH specifications of …

We investigate several aspects of GARCH(p,q) models which are relevant for empirical applications. In particular, we … note that the inclusion of a dummy variable as regressor can lead to multimodality in the GARCH likelihood. This makes … on the GARCH parameter space. We present a small refinement to the Nelson-Cao (1992) conditions for a GARCH(2,q) model …