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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

39 (a) Columns A and B denote exchange volatility measured from the Generalized Autoregressive Conditional Heteroskedasticity (GARCH)(1,1) model and the moving average (MA) model, respectively.

An econometric analysis of US exports of forest products

No evidence is found for autoregressive conditional heteroskedasticity and same inference can be drawn for white heteroskedasticity.

Economic growth-female labour force participation nexus: an empirical evidence for Pakistan

Most of the literature on the international interactions of stock returns, foreign exchange rate changes and volatility spillovers employ Generalized Autoregressive Conditional Heteroskedasticity (GARCH) models (Bollerslev, 1986).

ASEAN 5 stock markets, currency risk and volatility spillover

Since the OLS does not consider autoregressive conditional heteroskedasticity, its residual variance is likely to be biased, and hypothesis tests are invalid.

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

GARCH: Generalized Autoregressive Conditional Heteroskedasticity

Twin sons of different mothers: the long and the short of the twin deficits debate

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.

The conditional beta and the cross-section of expected returns

Secondly, as a check on these results, we will employ a generalized autoregressive conditional heteroskedasticity (GARCH) (1) model.