) pertinent to the constrained optimization problem arising in the estimation of the GARCH models with inequality constraints, in … particular the Simplified Component GARCH Model (SCGARCH), together with algorithms for the objective function and analytical …

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 …

disasters, stochastic volatility, and GARCH affect any risk premia in a wide class of DSGE models. To quantify these effects, we … volatility, and GARCH. We ?find that rare disasters increase the mean level of the 10-year nominal term premium, whereas a key … effect of stochastic volatility and GARCH is an increase in the variability of this premium. …

We survey the theory and empirical evidence on GARCH option valuation models. Our treatment includes the range of … between GARCH and stochastic volatility models. In the appendix we provide Matlab computer code for option pricing via Monte …

GARCH model augmented by including an additional explanatory variable - the so-called GARCH-X model. The additional … to the results of Jensen and Rahbek (2004, Econometric Theory 20) who develop similar results for the pure GARCH model …

In this paper we propose a new multivariate GARCH model with time-varying conditional correlation structure. The time …

GARCH models have been successful in modeling financial returns. Still, much is to be gained by incorporating a … and realized measures of volatility. The Realized GARCH framework nests most GARCH models as special cases and is, in many … ways, a natural extension of standard GARCH models. We pay special attention to linear and log-linear Realized GARCH …