An Introduction to Univariate GARCH Models

DOI10.1007/978-3-540-71297-8_1MaRDI QIDQ3646947zbMATH OpenOpenAlexFDO

Authors Timo Teräsvirta

Publication date 27 November 2009

Published in Handbook of Financial Time Series (Search for Journal in Brave)

Full work available at URL http://swopec.hhs.se/hastef/papers/hastef0646.pdf

zbMATH Keywords

generalized ARCH modelsMarkov switchingnonparametric modelssemiparametric modelsthreshold GARCH models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

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Cited in

(22)

• Unfolded GARCH models
• The uncertainty of conditional returns, volatilities and correlations in DCC models
• A Bayesian non-parametric approach to asymmetric dynamic conditional correlation model with application to portfolio selection
• Option valuation with IG-GARCH model and a U-shaped pricing kernel
• Goodness-of-fit tests for parametric specifications of conditionally heteroscedastic models
• Modeling changes in US monetary policy with a time-varying nonlinear Taylor rule
• The story of GARCH: a personal odyssey
• QARIMA: a new approach to prediction in queue theory
• Practical Issues in the Analysis of Univariate GARCH Models
• Multivariate GARCH Models
• Evaluation of volatility predictions in a VaR framework
• Adding flexibility to Markov Switching models
• An application of copulas to OPEC’s changing influence on fossil fuel prices
• On the asymmetry in the volatility of financial time series: a buffered transition approach
• Tail behaviour of \(\beta \)-TARCH models
• Estimating \(\operatorname{GARCH}(1, 1)\) in the presence of missing data
• A new look at variance estimation based on low, high and closing prices taking into account the drift
• Threshold network GARCH model
• Modelling volatility by variance decomposition
• Implicit score-driven filters for time-varying parameter models
• Comparison of value-at-risk models using the MCS approach
• On the tvGARCH(1,1) model: existence, CLT, and tail index

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