-persistence to occur in the multivariate linear GARCH model are presented. These conditions parallel the conditions for linear co …

two conditional moments of univariate traffic flow series can be modeled as a SARIMA+GARCH structure, based on which an … smoothing; the local variation is processed using Kalman filter by constructing a state space model. Afterwards, GARCH model is … processed using Kalman filter based on the recognition that GARCH has an equivalent representation as ARMA in the sense of …

The stylized fact of time-varying volatility in financial series is commonly accepted amongst scholars as well as … practitioners. The GARCH model has been exceptionally successful in this area. Our approach, the minimally cross …-entropic conditional density (MCECD) model, is a generalization of GARCH(1,1) which can cope with conditional skewness and kurtosis. It is …

conditional heteroskedasticity (GARCH) model is used to identify the magnitude and significance of mean and volatility spillovers … large number of significant innovation and volatility spillovers between the futures and spot markets indicates the presence … of strong ARCH and GARCH effects. Contrary to evidence from studies in North American electricity markets, the results …

Despite the fact that there is a substantial literature on the analysis of volatility spillovers between stock returns … and domestic exchange rates, surprisingly, little empirical research has examined volatility spillovers between oil prices … effects of the 2007-2009 World economy crisis. This lack of research might appear as surprising given that energy markets are …

, insbesondere der Zeitreihenanalyse liegt. Das Konzept besteht darin, sämtliche wiederkehrenden Aufgaben mit Hilfe von Java …

This paper empirically examines the impact of oil price levels and volatility on key macroeconomic indicators of … Indonesia. In particular, two measures of volatility – historical volatility and realized volatility – are utilized and compared … for their different macroeconomic impacts. The relationships between oil price levels, the two volatility measurements …