With regard to the remaining commodities, the T-GARCH
model collapses into the standard GARCH
form, where the [alpha] and [beta] coefficients are following the [alpha] + [beta] < 1 relation that guarantees stationarity of the variance.
They explored the impact of exchange rate volatility on exports in the Central Franc African (CFA) and non-CFA countries of Africa; they used GARCH
model to generate the exchange rate volatility time series.
For the said purpose, pair wise tests of equality of variances, ARCH-LM tests and multivariate dynamic conditional correlations (DCC) GARCH
models are applied.
2005) conducted their study in six sectors of Saudi Arabian market for a sample from February 1985 to April 2000 using GARCH
model to determine the volatility of weekly data.
The empirical results using S&P 500 data showed that the CARR model does provide better volatility estimates than a standard GARCH
Keywords: West Texas Intermediate, GARCH
, Capital Markets in ASEAN Region.
Researchers used ARMA, ARCH, GARCH
for best time series model for forecasting KIBOR.
Keywords: Inflation; Output Growth; Uncertainty; GARCH
This approach present a two step dynamic VaR estimating method which uses EVT with GARCH
A majority of the literature pertaining to GARCH
models focuses on stocks and commodity markets.
Using both GARCH
and EGARCH models, they report a spillover effect among three countries, i.
The comparative advantage of this GARCH
model is that, it captures the asymmetric response of volatility to positive and negative shocks of the investigated market.