An Introduction to Univariate GARCH Models

Abstract

Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in EconStor may

Practical Issues in the Analysis of Univariate GARCH Models

“…Many other asymmetric GARCH models have been proposed based on smooth transition and Markov switching models. See [44] and [83] for excellent surveys of these models.…”

“…See, for example, [9], [14], [74], [76], [27] and [83]. There are also several comprehensive surveys that focus on the forecasting performance of GARCH models including [78], [77], and [3].…”

The model confidence set package for R

“…Moreover, even if they could seem very similar, the way in which they account for the stylised fact changes. For a very extensive and up to date survey on GARCH models we will refer the reader to the works of Bollerslev (2008), Teräsvirta (2009), Bauwens, Laurent, and Rombouts (2006), Silvennoinen and Teräsvirta (2009) and the recent book of Francq and Zakoian (2011). To estimate model parameters we consider the maximum likelihood approach, see e.g.…”

Shrinkage Estimation of Linear Regression Models with GARCH Errors

“…An extensive survey of the theory and applications of these regression models is given by [6], [18], and [30]. Other surveys of GARCH(p, q) processes include [23], [21], [3], [19], [32] and [25], [34], and [22]. Introductory surveys include [12] and [11].…”