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 …

contained in the GARCH of the innovations. However, while promising, tests with GARCH are difficult to implement, which has made … them quite uncommon in the empirical literature. A computationally attractive alternative is to account not for GARCH but …

In search for more efficient unit root tests in the presence of GARCH, some researchers have recently turned their …

recently proposed Dynamic Conditional Correlations (DCC) class of GARCH models, I estimate the covariance of the fundamental …

theintroduction of futures trading.In the third chapter, I investigate the presence of calendar anomalies in ISE byusing GARCH models …

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 …

Making sense of data may benefit from high volume data acquisition and analysis using GARCH and VAR-MGARCH (Datta et al …, we propose to bolster the GARCH proof of concepts through pilot implementations of analytical engines in diverse …