-GARCH(1,1), CAViaR and historical simulation models in periods with contrasting volatility trends (increasing, constantly high … volatility trend. However, GARCH-st (1,1) and QML-GARCH(1,1) were found to be the most robust models in the different volatility … periods. The results show as well that the CAViaR model forecasts were less appropriate in the increasing volatility period …

volatility models, namely GARCH(1,1), GJR(1,1) and EGARCH(1,1), are used to measure the short-run and long-run persistence of … tourists. The empirical results show asymmetric impacts of positive and negative shocks on the volatility of the change in the … number of Group-type and Medical-type tourists, while Individual-type tourists display a symmetric volatility pattern …

This study investigates price volatility and hedging behavior of four notional commodity futures indices which … of June 8, 2005 to August 31, 2010 have been employed to measure the volatility and hedge ratio. A GARCH (1, 1) model was … employed to measure the spot return volatility of respective indices. DVECH-GARCH, BEKK-GARCH and CCC-GARCH were utilized to …