—are defined and derived by using a time-varying parameter model with a GARCH specification. It is found that both the structural …

adjusting for GARCH effects, suggests that for more than 66%, the hypothesis of unit root bilinearity is accepted. Therefore …

to overreact to changes in the implied volatility of short-maturity options. When a GARCH process is assumed for exchange …

days, creating temporal clusters. The GARCH model, which treats volatility as a drift process, is commonly used to capture … volatility undergoes abrupt jumps in addition to drift. Most efforts to integrate these jumps into the GARCH methodology have …

short term memory and the volatility of returns common in such financial asset return data, we filter the data by an AR-GARCH …

volatility and long-memory behavior of the volatility are fitted by the asymmetry GARCH models and GARCH with the inclusion of … realized volatility at the final period. Across the periods, the results show the mixture of symmetry and asymmetry GARCH …

In this paper, we model natural gas market volatility using GARCH-class models with long memory and fat … differential between spot and futures. Our evidence shows that nonlinear GARCH-class models with asymmetric effects have the … detrending moving average indicate that GARCH models cannot capture multifractality in natural gas markets. This may be the …

unit root tests are examined in the presence of generalised autoregressive conditional heteroskedasticity (GARCH). It is …–Fuller unit root test when applied to series exhibiting GARCH. Importantly, it is found that the use of consistent … the GARCH model. The relevance of the simulation analysis conducted is supported by GARCH modelling of the term structure …