GARCH Models

continuous time model stochastic volatility option pricing stationarity statistical inference exponential GARCH model GARCH model discrete time model multivariate model Value at Risk univariate model financial return threshold GARCH model whiteness asymmetric GARCH model conditionally heteroscedastic model Markov switching volatility parameter-driven volatility

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Research exposition (monographs, survey articles) pertaining to statistics (62-02)

Related Items (78)

Jump detection in high-frequency financial data using wavelets ⋮ A NEGATIVE BINOMIAL AUTOREGRESSION WITH A LINEAR CONDITIONAL VARIANCE-TO-MEAN FUNCTION ⋮ LEAST SQUARES AND IVX LIMIT THEORY IN SYSTEMS OF PREDICTIVE REGRESSIONS WITH GARCH INNOVATIONS ⋮ METHOD OF MOMENTS ESTIMATION FOR LÉVY-DRIVEN ORNSTEIN–UHLENBECK STOCHASTIC VOLATILITY MODELS ⋮ The use of aggregate time series for testing conditional heteroscedasticity ⋮ Portmanteau test for the asymmetric power GARCH model when the power is unknown ⋮ Goodness-of-fit tests for SPARMA models with dependent error terms ⋮ CHARACTERIZATION OF THE TAIL BEHAVIOR OF A CLASS OF BEKK PROCESSES: A STOCHASTIC RECURRENCE EQUATION APPROACH ⋮ A factor-GARCH model for high dimensional volatilities ⋮ Oracally efficient estimation and testing for an ARCH model with trend ⋮ Consistent model selection criteria and goodness-of-fit test for common time series models ⋮ Asymmetric linear double autoregression ⋮ Stationarity and ergodicity of Markov switching positive conditional mean models ⋮ A new GJR‐GARCH model for ℤ‐valued time series ⋮ Unnamed Item ⋮ Posterior consistency for the spectral density of non‐Gaussian stationary time series ⋮ Covariance prediction via convex optimization ⋮ Root-\(n\) consistent estimation of the marginal density in semiparametric autoregressive time series models ⋮ Asymptotic negative binomial quasi-likelihood inference for periodic integer-valued time series models ⋮ On variable ordination of modified Cholesky decomposition for estimating time‐varying covariance matrices ⋮ Estimating weak periodic vector autoregressive time series ⋮ Distribution of residual autocorrelations for multiplicative seasonal ARMA models with uncorrelated but nonindependent error terms ⋮ QUANTILE DOUBLE AUTOREGRESSION ⋮ Virtual historical simulation for estimating the conditional VaR of large portfolios ⋮ Volatility GARCH models with the ordered weighted average (OWA) operators ⋮ Dynamic conditional eigenvalue GARCH ⋮ A dynamic conditional score model for the log correlation matrix ⋮ Empirical characteristic function tests for GARCH innovation distribution using multipliers ⋮ Local linear regression with nonparametrically generated covariates for weakly dependent data ⋮ Bootstrap prediction intervals for autoregressive conditional duration models ⋮ Testing conditional heteroscedasticity with systematic sampling of time series ⋮ Bootstrapping the transformed goodness-of-fit test on heavy-tailed GARCH models ⋮ On a Partially Non-Stationary Vector AR Model with Vector GARCH Noises: Estimation and Testing ⋮ Estimation of the empirical risk‐return relation: A generalized‐risk‐in‐mean model ⋮ Portmanteau test for a class of multivariate asymmetric power GARCH model ⋮ Student‐t stochastic volatility model with composite likelihood EM‐algorithm ⋮ Autoregressive conditional proportion: A multiplicative‐error model for (0,1)‐valued time series ⋮ Augmenting the realized-GARCH: the role of signed-jumps, attenuation-biases and long-memory effects ⋮ High-dimensional VAR with low-rank transition ⋮ Exponential control of the trajectories of iterated function systems with application to semi-strong GARCH models ⋮ A note on the QMLE limit theory in the non-stationary ARCH(1) model ⋮ Location Multiplicative Error Models with Quasi Maximum Likelihood Estimation ⋮ Comparing the performances of symmetric and asymmetric generalized autoregressive conditionally heteroscedasticity models based on long-memory models under different distributions ⋮ Maximum likelihood estimation for \(\alpha\)-stable double autoregressive models ⋮ Optimal estimating function for weak location‐scale dynamic models ⋮ On the Least Squares Estimation of Multiple-Threshold-Variable Autoregressive Models ⋮ Autoregressive conditional betas ⋮ Goodness‐of‐fit tests for the multivariate Student‐t distribution based on i.i.d. data, and for GARCH observations ⋮ Stochastic online convex optimization. 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