Network traffic prediction based on FARIMA-GARCH model by Shuang-mao YANG, Wei GUO, Wei TANG

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Randomised Pseudolikelihood Ratio Change Point Estimator in Garch Models by George Awiakye-Marfo, Joseph Mung’atu, Patrick O. Weke

“…In this paper, a randomised pseudolikelihood ratio change point estimator for GARCH model is presented. Derivation of a randomised change point estimator for the GARCH model and its consistency are given. …”
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Bayesian Non-Parametric Mixtures of GARCH(1,1) Models by John W. Lau, Ed Cripps

“…Traditional GARCH models describe volatility levels that evolve smoothly over time, generated by a single GARCH regime. …”
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Multivariate GARCH models with spherical parameterizations: an oil price application by Luca Vincenzo Ballestra, Riccardo De Blasis, Graziella Pacelli

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Estimating and forecasting bitcoin daily prices using ARIMA-GARCH models by Quang Phung Duy, Oanh Nguyen Thi, Phuong Hao Le Thi, Hai Duong Pham Hoang, Khanh Linh Luong, Kim Ngan Nguyen Thi

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Assessing the Impact of the Realized Range on the (E)GARCH Volatility: Evidence from Brazil by Victor Bello Accioly, Beatriz Vaz de Melo Mendes

Subjects: “…garch and egarch models…”
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Estimating Risk of Natural Gas Portfolios by Using GARCH-EVT-Copula Model by Jiechen Tang, Chao Zhou, Xinyu Yuan, Songsak Sriboonchitta

“…This paper concentrates on estimating the risk of Title Transfer Facility (TTF) Hub natural gas portfolios by using the GARCH-EVT-copula model. We first use the univariate ARMA-GARCH model to model each natural gas return series. …”
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Retracted: Analysis of Factors Influencing Stock Market Volatility Based on GARCH-MIDAS Model by null Complexity

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Price Risk Measurement of China’s Soybean Futures Market Based on the VAR-GJR-GARCH Model by Chuan-hui Wang, Li-ping Wang, Wei-feng Gong, Hai-xia Zhang, Xia Liu

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Regularidades probabilísticas de las series financieras y la familia de modelos GARCH by Armando Sánchez Vargas, Orlando Reyes Martínez

Subjects: “…modelos garch…”
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Geopolitical Risk and Stock Market Volatility in Emerging Economies: Evidence from GARCH-MIDAS Model by Menglong Yang, Qiang Zhang, Adan Yi, Peng Peng

“…By using the data from China’s CSI 300 index, we provide some evidence on whether and how the GPR factors can explain and forecast the volatility of stock returns in emerging economies. We employed the GARCH-MIDAS model and the model confidence set (MCS) to investigate the mechanism of GPR’s impact on the China stock market, and we considered the GPR index, geopolitical action index, geopolitical threat index, and different country-specific GPR indices. …”
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Analysis of Bitcoin Volatility during the COVID-19 Pandemic: An Examination Using ARCH and GARCH Models by Vildan Bayram, Ulaş Ünlü

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Impact of monetary policy on the stock market volatility: a GARCH-MIDAS approach in Malaysian economy by Jingyang Zuo

Subjects: “…GARCH-MIDAS model…”
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Orthogonal GARCH matrixes in the active portfolio management of defined benefit pension plans: A test for Michoacán by Oscar De la Torre Torres

“…En el presente artículo se prueba la utilidad de un proceso de administración activa de portafolios con matrices de covarianzas garch ortogonal ( ogarch ) en la reserva técnica de fondos de pensiones de beneficio definido, como es el caso de la Dirección de Pensio - nes Civiles del Estado de Michoacán. …”
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Volatility spillovers and conditional correlations between oil, renewables and stock markets: A multivariate GARCH-in-mean analysis by Wenxue Wang, Peter G. Moffatt, Zheng Zhang, Muhammad Yousaf Raza

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Valor em Risco (VaR) utilizando modelos de previsão de volatilidade: EWMA, GARCH e Volatilidade Estocástica by Fernando Caio Galdi, Leonel Molero Pereira

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THE VOLATILITY SPILLOVER EFFECT OF COVID-19 ON INVESTOR SENTIMENT IN JOHANNESBURG STOCK EXCHANGE by Kago Matlhaku, Sune Ferreira-Schenk

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Comparison of VaR Models to the Brazilian Stock Market Under the Hypothesis of Serial Independence in Higher Orders: Are Garch Models Really Indispensable? by Luiz Augusto Finger França Maluf, Jéssica Tamy Asano

“…Our objective in this article was to verify which models for the Value at Risk (VaR), among those that do not consider conditional volatility (Extreme Values Theory and the traditional Historical Simulation), and those that do consider it (GARCH and IGARCH), are adequate for the main index of the Brazilian stock market, the IBOVESPA. …”
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THE IMPACT OF EXCHANGE RATE VOLATILITY AND INFLATION ON THE NIGERIAN ECONOMY by Olabode Eric Olabisi, Kemi Funlayo AKEJU

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Interconnectedness and Spillover Effects amongst Stock Markets of the US, China, Germany, Japan and India using DCC-GARCH Model and Diebold Yilmaz Method by Archana Agarwal, Nidhi Dhankhar, Sunita Mehla

Subjects: “…dcc-garch model…”
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