Investopedia

What Is the GARCH Process? How It's Used in Different Forms

Will Kenton is an expert on the economy and investing laws and regulations. He previously held senior editorial roles at Investopedia and Kapitall Wire and holds a MA in Economics from The New School ...
JSTOR Daily

Estimating GARCH models: when to use what?

The class of generalized autoregressive conditional heteroscedastic (GARCH) models has proved particularly valuable in modelling time series with time varying volatility. These include financial data, ...
Risk

Time-scaling of value-at-risk in GARCH(1,1) and AR(1)–GARCH(1,1) processes

This paper investigates the estimation of a 10-day value-at-risk (VaR) based on a data set of 250 daily values. The commonly used square-rootof-time rule, which scales the one-day 99% VaR with a ...
Risk

A vine copula–GARCH approach to corporate exposure management

We apply vine copulas with generalized autoregressive conditional heteroscedasticity (GARCH) marginals to the problem of capturing asset dependence and tail dynamics for currency and commodity ...
JSTOR Daily

Mixing Properties of a General Class of GARCH(1,1) Models without Moment Assumptions on the Observed Process

This is a preview. Log in through your library . Abstract We consider general, and possibly nonparametric, GARCH(1,1) processes. First we give conditions for the existence and the uniqueness of ...