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 ...

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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 ...

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

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 ...

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

For investors seeking broad diversification across asset classes and around the world, weighing the risks and rewards of investing outside of the advanced economies is critical in the decision-making ...