This paper attempts to investigate the possibility of structural change in tanker freight volatilities pre-and during the financial crisis. The aim is to apply a Markov-switching general autoregressive conditional heteroskedasticity (MS-GARCH) model that identifies and estimates the parameters of high and low volatility states, which are associated with different stages in the business cycle. T...

In the estimation of portfolios, it is natural to assume that the utility function depends on exogenous variable.From this point of view, in this paper, we develop the estimation under the utility function depending on exogenous variable. To estimate the optimal portfolio, we introduce a function consists of mean and variance of the return process, the covariance of the return processes and the...

Detecting and modelling structural changes in GARCH processes have attracted a great amount of attention in time series econometrics over the past few years. In this paper, we …rst generalize Dahlhaus and Subba Rao (2006 2008)’s time-varying ARCH processes to time-varying GARCH processes and derive the consistency and asymptotic normality of the weighted quasi maximum likelihood estimator of th...

introduction: poultry is an important commodity for household consumption. in recent years, price fluctuation for this commodity has caused an uncertain condition for consumers and poultry prices over the past two years has changed a lot. this has caused many changes and uncertainty in a purchase decision. analysis of changes and volatility modeling can be a great help to predict the poultry pr...

Modelling and detecting structural changes in GARCH processes have attracted a great amount of attention in econometrics over the past few years. We generalize Dahlhaus and Rao (2006)’s time varying ARCH processes to time varying GARCH processes and show the consistency of the weighted quasi maximum likelihood estimator. A class of generalized likelihood ratio tests are proposed to check smooth...