Multistep forecasting for highly volatile data using new algorithm of Box-Jenkins and GARCH by Siti Roslindar, Yaziz, Roslinazairimah, Zakaria

“…This study is proposing a new algorithm of Box-Jenkins and GARCH (or BJ-G) in evaluating the multistep forecasting performance of the BJ-G model for highly volatile time series data. …”
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A comparative study on Box-Jenkins and Garch models in forecasting crude oil prices by Siti Roslindar, Yaziz, Maizah Hura, Ahmad, Chee Nian, Lee, Noryanti, Muhammad

“…Finally, using several measures, comparison performances between ARIMA(1, 2, 1) and GARCH(1,1) models are made. GARCH(1,1) is found to be a better model than ARIMA(1, 2, 1) model. …”
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Forecasting of Volatility in Stock Exchange Markets by MS-GARCH Approach: An Application of Borsa Istanbul by Abdulkadir Kaya, İkram Yusuf Yarbaşı

“…The BIST100 index was analyzed by Markov regime switching GARCH (MS-GARCH) with three regimes, standard, high and low volatility regimes. …”
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Optimal Multi-Step-Ahead Prediction of ARCH/GARCH Models and NoVaS Transformation by Jie Chen, Dimitris N. Politis

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Fuzzy Gaussian GARCH and Fuzzy Gaussian EGARCH Models: Foreign Exchange Market Forecast by José Eduardo Medina Reyes, Agustín Ignacio Cabrera Llanos, Salvador Cruz Aké

Subjects: “…fuzzy logic, garch, egarch, fuzzy garch, fuzzy egarch…”
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Determining the change in retail prices of veal in turkey by garch method between 2014-2017 by Mehmet Saltuk ARIKAN, Mustafa Bahadır ÇEVRİMLİ, Ahmet Cumhur AKIN, Mustafa Agah TEKİNDAL

Subjects: “…garch…”
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TESTING THE CAPM FOR THE BRAZILIAN STOCK MARKET USING MULTIVARIATE GARCH BETWEEN 1995 AND 2012 by Lucas Lucio Godeiro

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The Contagion of Global Financial Crisis on Exchange Rate Volatility in Iran: Copula-GARCH Approach by Fakhri Mirshojaee, Nasser Elahi, Mohsen Seighali

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Interdependence of oil prices and exchange rates: Evidence from copula-based GARCH model by Ngo Thai Hung

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INTEREST RATE RISK MANAGEMENT - CALCULATING VALUE AT RISK USING EWMA AND GARCH MODELS by Ioan TRENCA, Simona MUTU

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کاربرد الگویTV-GARCH در برآورد تلاطم نرخ ارز در ایران by فرهاد امیری, کاوه درخشانی درآبی, حمید آسایش

“…نتایج الگوسازی نوسانات نرخ ارز با استفاده از داده‌های ماهانه نرخ ارز در دوره زمانی 1397-1364 نشان می‌دهد که در مقایسه درون و برون نمونه‌ای الگوی TV-GARCH نسبت به الگوهای با ضرایب ثابتGARCH  وEGARCH  از دقت بالاتری برخوردار است.…”
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A Hybrid Fuzzy GJR-GARCH Modeling Approach for Stock Market Volatility Forecasting by Leandro Maciel

“…This paper proposes a Fuzzy GJR-GARCH model to forecast the volatility of S&P 500 and Ibovespa indexes. …”
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Retracted: Analysis of Factors Influencing Stock Market Volatility Based on GARCH-MIDAS Model by null Complexity

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Testing the CAPM for the Brazilian Stock Market Using Multivariate GARCH between 1995 and 2012 by Lucas Lucio Godeiro

“…Keywords: CAPM; Multivariate GARCH; Dynamic betas. JEL Classifications: G12; C32 …”
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Forecasting of exported volume for brazilian fruits by time series analysis: an arima/garch approach by Abdinardo Moreira Barreto de Oliveira, Antônio Pires Crisóstomo

Subjects: “…Modelos ARIMA. Modelos GARCH…”
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A Height Nonlinear Velocity Field Algorithm for CORS Station Based on GARCH Model by Hengjing Zhang, Huanling Liu, Dongdong Cui, Fang Zhang

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A Garlic-Price-Prediction Approach Based on Combined LSTM and GARCH-Family Model by Yan Wang, Pingzeng Liu, Ke Zhu, Lining Liu, Yan Zhang, Guangli Xu

“…The combined model of LSTM-GARCH provides the best results in garlic price prediction and can provide support for garlic price prediction.…”
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Jump-Robust Realized-GARCH-MIDAS-X Estimators for Bitcoin and Ethereum Volatility Indices by Julien Chevallier, Bilel Sanhaji

“…We feature a jump-robust extension of the REGARCH-MIDAS-X model incorporating realized beta GARCH processes and MIDAS filters with monthly, daily, and hourly components. …”
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Tek Değişkenli GARCH Modelleri İle Türkiye’nin CDS Primi Oynaklığının Analizi by Mehmet Ozan ÖZDEMİR, Hamdi EMEÇ

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The Comparison among ARIMA and hybrid ARIMA-GARCH Models in Forecasting the Exchange Rate of Iran by Mosayeb Pahlavani, Reza Roshan

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