𝔖 Bobbio Scriptorium
✦   LIBER   ✦

The -structures of standard and switching-regime GARCH models

✍ Scribed by Christian Francq; Jean-Michel Zakoı¨an


Book ID
108266776
Publisher
Elsevier Science
Year
2005
Tongue
English
Weight
379 KB
Volume
115
Category
Article
ISSN
0304-4149

No coin nor oath required. For personal study only.


📜 SIMILAR VOLUMES


Structural breaks and GARCH models of ex
✍ David E. Rapach; Jack K. Strauss 📂 Article 📅 2008 🏛 John Wiley and Sons 🌐 English ⚖ 360 KB

## Abstract We investigate the empirical relevance of structural breaks for GARCH models of exchange rate volatility using both in‐sample and out‐of‐sample tests. We find significant evidence of structural breaks in the unconditional variance of seven of eight US dollar exchange rate return series

Regime-switching modelling of the fluctu
✍ P. Pinson; L.E.A. Christensen; H. Madsen; P.E. Sørensen; M.H. Donovan; L.E. Jens 📂 Article 📅 2008 🏛 Elsevier Science 🌐 English ⚖ 799 KB

that the magnitude of fluctuations of offshore wind power cannot be considered as simply influenced by the generation level only.

The specification of GARCH models with s
✍ Jeff Fleming; Chris Kirby; Barbara Ostdiek 📂 Article 📅 2008 🏛 John Wiley and Sons 🌐 English ⚖ 238 KB

## Abstract A number of studies investigate whether various stochastic variables explain changes in return volatility by specifying the variables as covariates in a GARCH(1, 1) or EGARCH(1, 1) model. The authors show that these models impose an implicit constraint that can obscure the true role of