The paper estimate 1-day Value at Risk (VaR) taking into consideration the financial integration of Indian capital market (BSE-SENSEX and NSE-NIFTY) with other global indicators and its own volatility using daily returns covering the period January 2003 to December 2009. The paper specifies a generalized autoregressive conditional heteroscedasticity (GARCH) framework to model the phenomena of v...

The issue of finite-sample inference in GARCH-like models has seldom been explored in the theoretical literature, although its potential relevance for practitioners is self-evident. In some cases, asymptotic theory may provide a very poor approximation to the actual distribution of the estimators in finite samples. The aim of this paper is to propose the application of the socalled double lengt...

We conduct empirical analyses to model the volatility of stock market in Malaysia. The GARCH type models (symmetric and asymmetric GARCH) are used to model the volatility of stock market in Malaysia. Their performances are compared based on three statistical error measures tools, i.e. mean squared error, root means squared error and mean absolute percentage error for in sample and out sample an...

This paper proposes a simple test for threshold nonlinearity in either the mean or volatility equation, or both, of a heteroskedastic time series. Our proposal adopts existing Bayesian Markov chain Monte Carlo methods to fit a general double threshold GARCH model, which may have an explosive regime, then forms posterior credible intervals on model parameters to detect and specify threshold nonl...

This research article aimed at modeling the variations in the dollar/cedi exchange rate. It examines the applicability of a range of ARCH/GARCH specifications for modeling volatility of the series. The variants considered include the ARMA, GARCH, IGARCH, EGARCH and M-GARCH specifications. The results show that the series was non stationary which resulted from the presence of a unit root in it. ...

This study investigates the extent of the contribution of the original GARCH model to our understanding of the stochastic process underlying exchange rate price changes, and examines if the movement of current research to GARCH type models exclusively is warranted. GARCH(1,1) parameters are calculated on a yearly basis and used to standardize the exchange rate price change data. Frequency distr...

We develop a Markov-switching GARCH model (MS-GARCH) wherein the conditional mean and variance switch in time from one GARCH process to another. The switching is governed by a hidden Markov chain. We provide sufficient conditions for geometric ergodicity and existence of moments of the process. Because of path dependence, maximum likelihood estimation is not feasible. By enlarging the parameter...

We test the importance of multivariate information for modelling and forecasting inflation’s conditional mean and variance. In the literature, the existence of inflation’s conditional heteroskedasticity has been debated for years, as it seemed to appear only in some datasets and for some lag lengths. This phenomenon might be due to the fact that inflation depends on a linear combination of econ...