We consider a family of GARCH(1,1) processes introduced in He and Teräsvirta (1999a). This family contains various … popular GARCH models as special cases. A necessary and sufficient condition for the existence of a strictly stationary …

testing parameter constancy. Furthermore, various existing ways of testing the EGARCH model against GARCH one are investigated …

This paper is concerned with efficient GMM estimation and inference in GARCH models. Sufficient conditions for the … estimator to be consistent and asymptotically normal are established for the GARCH(1,1) conditional variance process. In … addition efficiency results are obtained in the general framework of the GARCH(1,1)-M regression model. …

mentioned, and various extensions of the standard GARCH model are highlighted. This includes the Exponential GARCH model …

. Its performance is compared with that of standard models of conditional heteroskedasticity such as GARCH. This has …

This paper is concerned with efficient GMM estimation and inference in GARCH models. Sufficient conditions for the … estimator to be consistent and asymptotically normal are established for the GARCH(1,1) conditional variance process. In … addition efficiency results are obtained in the general framework of the GARCH(1,1)-M regression model. …

Conditional Heteroskedasticity (GARCH), the Exponential GARCH and the Autoregressive Stochastic Volatility model. The focus is on …

mentioned, and various extensions of the standard GARCH model are highlighted. This includes the Exponential GARCH model …

This paper investigates the presence of asymmetric GARCH effects in a number of equity return series, and compare the … modeling performance of seven different conditional variance models, within the parametric GARCH class of models. The data …

In this paper the autocorrelation structure of the Exponential GARCH(p,q) process of Nelson (1991) is considered … and compared to those of the standard GARCH(p,q) process. In particular, it is seen that, the EGARCH(p,q) model has a … richer autocorrelation structure than the standard GARCH(p,q) one. The statistical theory is further illustrated by a few …