a financial series. It uses an AR(1)–GARCH(1,1) model to calculate interval forecasts for one-step ahead returns that … GARCH model, however, is only used as a filter and the identification algorithm remains robust to model misspecifications …-of-sample forecasting performance of our outlier-corrected model is then compared to the classical forecasts of a GARCH model in which no …

instrumenting various GARCH models, endogenous break tests, and rolling window estimations, our results overall suggest that the …

instrumenting various GARCH models, endogenous break tests, and rolling window estimations, our results overall suggest that the …

This paper considers GARCH(1,1) models in which the time-varying coefficients are functions of the realizations of an …

relationship exists between the three series. To take into account the influence of temperature on the gas volatility, a GARCH(1 …

literature review of univariate and multivariate GARCH-type models, the author establishes results for the existence and …