# GARCH model

### Pair Trading in Tehran Stock Exchange based on Smooth Transition GARCH Model

**GARCH**

**model**with the second-order logistic function on the return spread for the in-sample period using equations 4 and ...MCMC

**model**. In order to implement this

**model**, we use ...

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### Modelling financial time series with SEMIFAR GARCH model

**model**to a SEMIFAR-

**GARCH**

**model**, so that conditional heteroskedasticity in financial time series can also be modelled by the SEMIFAR ...SEMIFAR

**model**are extended to the current ...

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### A Multiplicative Seasonal ARIMA/GARCH Model in EVN Traffic Prediction

**GARCH**

**model**based on the multiplicative seasonal ARIMA

**model**that we ...above,

**GARCH**(1, 1) assuming GED formulates which has the smallest measure of forecast error, ...the

**model**...

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### Stock Volatility Modelling with Augmented GARCH Model with Jumps

**GARCH**models with jumps to evaluate the impact of news flow intensity on stock ...well-known

**GARCH**

**model**with jumps proposed in ...the

**GARCH**-Jumps

**model**augmented with news ...

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### GARCH model with cross sectional volatility; GARCHX models

**model**GARCHX models since the constant in

**GARCH**models is replaced by an extra term, ...GARCHX

**model**does not need additional ...GARCHX

**model**is simple, but includes information on some ...

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### Examination of garch model for determinants of infosys stock returns

**GARCH**)

**model**based on the ARCH

**model**. Then,

**GARCH**

**model**was ...The

**GARCH**process is often preferred by financial professionals because it provides a more real-world context than ...

5

### A component GARCH model with time varying weights

**GARCH**

**model**, which allows time varying persistence in the volatility ...the

**model**structure could be easily modified to account for more general situations in which variations in the ...

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### Theory and inference for a Markov switching GARCH model

**GARCH**

**model**is estimated using daily or higher frequency data, the estimate of this sum tends to be close to one, indicating that the volatility process is highly persistent and the second moment of the ...

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### An Asymmetric Block Dynamic Conditional Correlation Multivariate GARCH Model

**GARCH**

**model**of Bollerslev (1986) has been extended to several classes of multivariate

**GARCH**models (see Bauwens, Laurent and Rombouts ...(2006)).

**GARCH**itself has come a long way since ...

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### Using Emotional Markers' Frequencies in Stock Market ARMAX GARCH Model

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### GARCH Model with Jumps: Testing the Impact of News Intensity on Stock Volatility

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### Performance of Markov Switching GARCH Model Forecasting Inflation Uncertainty

**GARCH**

**model**, one with normally distributed errors (MS-

**GARCH**-N) and another with t-distributed errors (MS-

**GARCH**-t), and compare their relative in-sample as well as ...

37

### Modelling of crude oil prices using hybrid arima-garch model

**GARCH**

**model**in handling volatile data. The price of crude oil data will be used for this purpose. This report consists of five chapters. Chapter 1 presents ...

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### Fourier type estimation of the power garch model with stable paretian innovations

**GARCH**

**model**with stable Paretian (SP) innovations. The method is based on the integrated weighted squared distance between the characteristic function ...

30

### Forecasting conditional volatility on the RIN market using MS GARCH model

**GARCH**

**model**. We just consider results of regime switching

**GARCH**

**model**and a

**model**from the previous paper ...ARMA-t-

**GARCH**

**model**as ...

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### The Log-GARCH Model via ARMA Representations

**GARCH**

**model**provides a flexible framework for the modelling of economic uncertainty, financial volatility and other positively valued ...the

**model**robust to jumps or ...the

**model**admits ...

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### Asymptotic Theory for a Vector ARMA-GARCH Model,

**model**requires only the second-order moment of the unconditional errors, and the finite fourth-order moment of the condi- tional ...ARMA-ARCH

**model**was proved using the fourth-order moment, which is an ...

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### A Multivariate Generalized Orthogonal Factor GARCH Model

**GARCH**

**model**. Our

**model**is related to the factor

**GARCH**

**model**of Engle et ...Gaussian

**model**, become identi ﬁ - able in a

**model**based on a mixture of normal ...factor ...

51

### Theory and inference for a Markov switching Garch model.

**GARCH**

**model**is estimated using daily or higher frequency data, the estimate of this sum tends to be close to one, indicating that the volatility process is highly persistent and the second moment of the ...

30

### Composite Likelihood for Bilinear GARCH Model

**model**, like the positivity, stationarity and marginal distribution; then we study the statistical inference, apply the composite likelihood on panel of BL-

**GARCH**(1, 2)

**model**, and study the ...

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