4 GARCH Models 7 4.1 Basic GARCH Specifications . . . . . . . . . . . . . . . . . . . 8 4.2 Diagnostic Checking . . . . . . . . . . . . . . . . . . . . . . . 11 4.3 Regressors in the Variance Equation . . . . . . . . . . . . . . . 12 4.4 The GARCH–M Model . . . . . . . . . . . . . . . . . . . . . . 12 4.5 The Threshold GARCH (TARCH) Model . . . . . . . . . . . . 12 4.6 The Exponential GARCH (EG...

UNLABELLED The objective of this paper is to verify the hypotheses presented in the literature on the causal relationship between inflation and its uncertainty, for the newest EU countries. To ensure the robustness of the results, in the study four models for inflation uncertainty are estimated in parallel: ARCH (1), GARCH (1,1), EGARCH (1,1,1) and PARCH (1,1,1). The Granger method is used to t...

With China's continuous opening to the outside world, changes in international environment and operation of cross-border RMB settlement system (CIPS), scale has fluctuated continuously. In response this phenomenon, authors collected sorted out total amount payments from 2011 2020 time sequence data China, then use five AR models including ARMA, GARCH(1.1), EGARCH(1.1), PARCH(1.1), CARCH(1.1) fi...

Recurrent stock market fall and rise sequel by COVID-19, rising global inflation, increase in Fed interest rates, the unprecedented meltdown of technology stocks, fear trade wars, tightening governments’ fiscal policies call for a new trend international investing. It is time investors to rethink, rebalance reset their investment strategies position protect portfolios during post-pandemic perio...

Bu çal??man?n konusunu, pay senedi endeksleri ile bu endekslerin dayanak varl?k oldu?u vadeli i?lemler aras?ndaki volatilite ili?kisinin analizi olu?turmaktad?r. çal??ma, spot endeksler endeks yönünü tespit etmeyi amaçlamaktad?r. temel amac?, Türkiye örne?inde yüksek i?lem hacmi göz önünde bulundurularak BIST 30 endeksi ve i?lemleri ekonometrik yöntemlerle incelenmesi, elde edilen verilerin Dün...