Risk

Estimating oil price volatility: a Garch model

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JSTOR Daily

Modeling Multiple Regimes in Financial Volatility with a Flexible Coefficient GARCH(1, 1) Model

In this paper a flexible multiple regime GARCH(1, 1)-type model is developed to describe the sign and size asymmetries and intermittent dynamics in financial volatility. The results of the paper are ...
EurekAlert!

Traditional vs. EV automakers exhibit diverging sensitivity to oil and clean energy markets

This study examines how oil market volatility and clean energy trends impact the stock performance of automakers, ...
JSTOR Daily

Maximum Likelihood Estimation of Star and Star-Garch Models: Theory and Monte Carlo Evidence

Journal of Applied Econometrics, Vol. 17, No. 5, Special Issue: Modelling and Forecasting Financial Volatility (Sep. - Oct., 2002), pp. 509-534 (26 pages) Theoretical and practical interest in ...
Risk

Forecasting value-at-risk for frontier stock market indexes using GARCH-type models and extreme value theory: model validation for dynamic models

We discuss the relative performances of value-at-risk (VaR) models using generalized autoregressive conditional heteroscedasticity (GARCH), Glosten-Jagannathan-Runkle GARCH and integrated GARCH ...
Simon Fraser University

Heteroscedasticity and GARCH Models

There are several approaches to dealing with heteroscedasticity. If the error variance at different times is known, weighted regression is a good method. If, as is ...

Understanding Stochastic Volatility and Its Impact on Asset Pricing

Stochastic volatility is the unpredictable nature of asset price volatility over time. It's a flexible alternative to the Black Scholes' constant volatility assumption.