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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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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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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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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Calculation of Temperature Action of Flat Steel Box Girder of Long-Span Bridges Using a Joint Model of ARMA Mean and GARCH Variance by Jun Yang, Dacheng Zhao, Bin Chen, Gaoxin Wang

“…The random fluctuation term is represented by a joint model of ARMA mean and GARCH variance. Moreover, the yearly extreme values of temperature data and temperature difference data are considered as statistical variables, and their standard values of temperature action with 50-year return period are calculated by means of the general extreme value (GEV) distributive function. …”
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Research on the Value at Risk of Basis for Stock Index Futures Hedging in China Based on Two-State Markov Process and Semiparametric RS-GARCH Model by Liang Wang, Tingjia Xu, Longhao Qin, Chenge Liu

“…This article aims to investigate the Value at Risk of basis for stock index futures hedging in China. Since the RS-GARCH model can effectively describe the state transition of variance in VaR and the two-state Markov process can significantly reduce the dimension, this paper constructs the parameter and semiparametric RS-GARCH models based on two-state Markov process. …”
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INFLACIÓN E INCERTIDUMBRE INFLACIONARIA EN BOLIVIA by Antonio N. Bojanic

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Dinámicas del tipo de cambio nominal y del IPCc, 1991-2014: una especificación que combina los modelos ARFIMA y GARCH by Héctor F. Salazar-Núñez, Francisco Venegas-Martínez

“…En este trabajo se utilizan los modelos arfima y garch, así como combinaciones de ellos para detectar algún tipo de memoria en el tipo de cambio nominal usd-mxn y el Índice de Precios y Cotizaciones de la Bolsa Mexicana de Valores durante el periodo 1991-2014. …”
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Examining the Leverage Effect, Dynamic Conditional Correlation, and Volatility Spillover Among Selected Indices of the Tehran Stock Exchange: Evidence from the ARMA-DCC-GJR-GARCH Model by Gholamhosein Golarzi, Seyed Ramin Abolfazli

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