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References in periodicals archive ?

They employed generalised autoregressive conditional heteroskedasticity (GARCH) and vector autoregressive (VAR) model, and found little support on the subsistence of the relationship between macroeconomic volatilities and stock market volatility.

An autoregressive distributive lag for the analysis of macroeconomic variables on stock market returns in Nigeria

1986, "Generalized Autoregressive Conditional Heteroskedasticity," Journal of Econometrics 31(3), 307-327.

On the estimation of extreme values for risk assessment and management: the ACER method

The most commonly used are moving average of standard deviations and conditional standard deviation from Autoregressive Conditional Heteroskedasticity models.

An econometric analysis of US exports of forest products

The model defined in (1)-(4) may be interpreted by disturbances in linear regression which follow an autoregressive conditional heteroskedasticity of the order q.

Stochastic models with heteroskedasticity: a Bayesian approach for Ibovespa returns/Modelos estocasticos com heterocedasticidade: uma abordagem Bayesiana para os retornos do Ibovespa

The Generalized Autoregressive Conditional Heteroskedasticity model, GARCH(p, q), considers the current conditional variance dependent on the p past conditional variances as well as the q past squared innovations.

Modelo hibrido GJR-GARCH neboluso para a previsao da volatilidade em mercados de acoes

The GARCH model is a generalization of the model of autoregressive conditional heteroskedasticity created by Engle in 1982.

Arima-Garch models in estimating market risk using value at risk for the WIG20 index

Generalised Autoregressive Conditional Heteroskedasticity (GARCH) models are specifically designed to model and forecast conditional variances.

An analysis of impact of exchange rate on inflation rate in Indian economy

Mishra and Rahman (2010) examined the dynamics of stock market returns volatility of India and Japan using the Threshold Generalized Autoregressive Conditional Heteroskedasticity (TGARCH-M) model.

ASEAN 5 stock markets, currency risk and volatility spillover

Therefore, the generalized autoregressive conditional heteroskedasticity (GARCH) model is used to capture attendance volatility (Bollerslev 1986).

Factors affecting attendance of Major League Baseball: revisited

Para dimensionar la volatilidad se recurrio a los modelos Autoregressive Conditional Heteroskedasticity (ARCH) y General Autoregressive Conditional Heteroskedasticity (GARCH), de acuerdo con Engle (1982).

Los precios forward sobre electricidad. ?Determinados racionalmente por los agentes del mercado colombiano?

The generalized autoregressive conditional heteroskedasticity (GARCH) technique is used to estimate regression parameters.

Income distribution and economic growth: evidence from Islamic Republic of Iran

We propose three alternative specifications of expected future beta based on the past information on realized beta using autoregressive, moving average, and generalized autoregressive conditional heteroskedasticity (GARCH)-in-mean models to obtain time-varying conditional betas for each stock.