In the previous studies a hypothesis was developed from the results by using trivariate Weibull model that the increase in leptin concentrations during the second half of the menstrual cycle may be related to changes in the steroidal milieu during the pre ovulatory period and the luteal phase. The present study was undertaken to test this hypothesis further by examining the effect of treatment ...

Volatility modelling of asset returns is an important aspect for many financial applications, e.g., option pricing and risk management. GARCH models are usually used to model the volatility processes of financial time series. However, multivariate GARCH modelling of volatilities is still a challenge due to the complexity of parameters estimation. To solve this problem, we suggest using Independ...

Considering alternative models for exchange rates has always been a central issue in applied research. Despite this fact, formal likelihood-based comparisons of competing models are extremely rare. In this paper, we apply the Bayesian marginal likelihood concept to compare GARCH, stable, stable GARCH, stochastic volatility, and a new stable Paretian stochastic volatility model for seven major c...

Bollerslev’s (1986) standard GARCH(1,1) model has been successful in the literature of volatility modelling and forecasting in the past two decades. Many of its extensions are contributed to examine the stylized features often observed with financial asset data. One of the distinct success is Bollerslev and Ghysels’ (1996) periodic GARCH model, which takes into account periodic variation in the...

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.

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...

This paper investigates if component GARCH models introduced by Engle and Lee (1999) and Ding and Granger (1996) can capture the long-range dependence observed in measures of time-series volatility. Long-range dependence is assessed through the sample autocorrelations, two popular semiparametric estimators of the long-memory parameter, and the parametric fractionally integrated GARCH (FIGARCH) ...

Detecting and modelling structural changes in GARCH processes have attracted increasing attention in time series econometrics. In this paper, we propose a new approach to testing structural changes in GARCH models. The idea is to compare the log likelihoods of a time-varying parameter GARCH model and a constant parameter GARCH model, where the time-varying GARCH parameters are estimated by a lo...

GARCH-type models have been highly developed since Engle [1982] presented ARCH process 30 years ago. Different kinds of GARCH-type models are applicable to different kinds of research purposes. As documented by many literatures that short-memory processes with level shifts will exhibit properties that make standard tools conclude long-memory is present. Therefore, in this paper, we want to fore...