We develop a Markov-switching GARCH model (MS-GARCH) wherein the conditional mean and variance switch in time from one … GARCH process to another. The switching is governed by a hidden Markov chain. We provide sufficient conditions for geometric …

We develop a Markov-switching GARCH model (MS-GARCH) wherein the conditional mean and variance switch in time from one … GARCH process to another. The switching is governed by a hidden Markov chain. We provide sufficient conditions for geometric …

We develop univariate regime-switching GARCH (RS-GARCH) models wherein the conditional variance switches in time from … one GARCH process to another. The switching is governed by a time-varying probability, specified as a function of past …

GARCH volatility models with fixed parameters are too restrictive for long time series due to breaks in the volatility … process. Flexible alternatives are Markov-switching GARCH and change-point GARCH models. They require estimation by MCMC …

GARCH and sign-type tests against general dependencies and asymmetries. The procedures proposed provide exact versions of … following. Whereas univariate exact tests indicate significant serial correlation, asymmetries and GARCH in some equations, such …

The GARCH and Stochastic Volatility paradigms are often brought into conflict as two competitive views of the … the model. To this respect, the debate between observable past information (in the GARCH spirit) versus unobservable … stochastic volatility (SR-SARV) model which remains true to the GARCH paradigm of ARMA dynamics for squared innovations but …

over a small time frame (e.g., a crisis period). We apply our method to test GARCH model specifications for a large panel …

Various GARCH models are applied to daily returns of more than 1200 constituents of major stock indices worldwide. The … conclusions. First, an asymmetric GARCH specification is essential when forecasting the 95% value-at-risk. Second, for both the 95 …

We investigate the time-variation of the cross-sectional distribution of asymmetric GARCH model parameters over the S …&P 500 constituents for the period 2000-2012. We find the following results. First, the unconditional variances in the GARCH … unconditional mean that increases. Particularly in the latest financial crisis, the estimated models tend to Integrated GARCH models …

tests for multivariate GARCH and multivariate generalization of the well-known variance ratio tests) and goodness of fit …