We are interested in estimation of stationary GARCH models. In simulation studies, we assess the performance of the maximum likelihood estimator and Yule-Walker estimator of the GARCH (1, 1) model. Finally we attempt to fit the dynamics of daily stock returns on Nordea by a GARCH model.

GARCH model has gained popularity during the last two decades, because of their ability to capture non-linear dynamics in the real life data which we often observe especially in financial markets. This paper discuss four common information criteria (AIC, AICc, BIC and HQ) and their ability of correct selection in the presence of GARCH effect, based on their probability of correct selection as a...

In Duan, Gauthier and Simonato (1999), an analytical approximate formula for European options in the GARCH framework was developed. The formula is however restricted to the nonlinear asymmetric GARCH model. This paper extends the same approach to two other important GARCH specifications GJR-GARCH and EGARCH. We provide the corresponding formulas and study their numerical performance. keywords: ...

This paper establishes the strong consistency and asymptotic normality of the quasi-maximum likelihood estimator (QMLE) for a GARCH process with periodically time-varying parameters. We first give a necessary and sufficient condition for the existence of a strictly periodically stationary solution for the periodic GARCH (P -GARCH) equation. As a result, it is shown that the moment of some posit...

To date in literature, GARCH model has been described not suitable for non-linear foreign exchange series and therefore this paper proposes an Augmented GARCH model that could capture both linear and non-linear behavior of data. The properties of this new model is derived and found to have a minimum variance compared with GARCH model. We employ the use of Brock-DechertScheinkman (BDS) test stat...

The impact of news releases related to the inflation targeting regime on financial market is analyzed by estimating a bivariate VAR GARCH-BEKK-in-mean model. We use daily data, from January 2006 May 2017, stock prices index (IBOVESPA), exchange rate (BRL/USD) and interbank deposit (DI360). developed positive negative measure based Caporale et al. (2016) (2018). Although literature subject vast,...

Abstract This article aims to examine the transmission of return and volatility spillover from banking industry other industries in Pakistan. The study uses daily stock prices 2005 2018 financial non‐financial sectors listed at Pakistan exchange. KSE‐100 index is used as a basis for selection he companies. ARMA‐GARCH mean model measure spillover. time‐varying conditional correlation asymmetric ...