Hybrid of ARIMA-GARCH modeling in rainfall time series by Yusof, Fadhilah, Lawal Kane, Ibrahim, Yusop, Zulkifli

“…The results of these auxiliary tests show clear evidence to reject the null hypothesis of no ARCH effect. Hence indicates that GARCH modeling is necessary. Therefore the composite ARIMA-GARCH model captures the dynamics of the daily rainfall series in study areas more precisely. …”
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East Asian Financial Contagion under DCC-Garch by Cho, J. H., Parhizgari, A. M.

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Application of arima and garch models in forecasting crude oil prices by Lee, Chee Nian, 1985-, Maizah Hura Ahmad, supervisor, Fakulti Sains

Modelling and forecasting volatile data by using ARIMA and GARCH models / by Nor Hamizah Miswan, 1990-, Maizah Hura Ahmad, supervisor, Fakulti Sains

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Arch model and garch model for forecasting daily silver prices / by Tan Kok Kiong, 1990-, Zuhaimy Ismail, supervisor, Fakulti Sains

GARCH models and distributions comparison for nonlinear time series with volatilities by Nur Haizum, Abd Rahman, Jia, Goh Hui, Hani Syahida, Zulkafli

“…The models considered are the standard GARCH, Integrated GARCH (IGARCH), Exponential GARCH (EGARCH), and Golsten, Jagannathan, and Runkle GARCH (GJR-GARCH), each with normal distribution, Student’s t-distribution, and Generalized Error Distribution (GED). …”
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The Performance of Hybrid ARIMA-GARCH Modeling in Forecasting Gold Price by Siti Roslindar, Yaziz, Noor Azlinna, Azizan, Roslinazairimah, Zakaria, Maizah Hura, Ahmad

“…The findings suggest that the potential combination of powerful and flexibility of ARIMA and the strength of GARCH models in handling volatility and risk in the data series as well as to overcome the linear limitation in the ARIMA models made the hybridization of ARIMA-GARCH model as a new promising approach in modeling and forecasting gold price.…”
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Forecasting Portfolio Risk Estimation by Using Garch and Var Methods by Noor Azlinna, Azizan, Lee, Chia Kuang, Zeenat, Ahmed

“…Motivates from this, we conducted an analysis to compare the effectiveness of VaR analysis and GARCH method in forecasting risk estimation. Risk manager can used the best methods in reducing their customers risk volatility and rank the risk level.…”
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Improving the option pricing performance of GARCH models in inefficient market by Noureddine Lahouel, Slaheddine Hellara

“…It is, therefore, useful, before proceeding to apply the standard risk-neutral approach, to check the efficiency assumption. New modified GARCH processes were used to model the dynamics of the asset returns in the option pricing framework. …”
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Estimating the Volatility of Cocoa Price Return with ARCH and GARCH Models by Lya Aklimawati, Teguh Wahyudi

“…Key words: Volatility, price, cocoa, GARCH, risk, futures trading…”
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Asymmetric GARCH Value-at-Risk over MSCI in Financial Crisis by Han Ching Huang, Yong-Chern Su, Jen-Tien Tsui

“… This paper uses four asymmetric GARCH models, which are GJR-GARCH, NA-GARCH, T-GARCH, and AV-GARCH to compare their performance on VaR forecasting to the symmetric GARCH model. …”
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Forecasting Performance of Asymmetric GARCH Stock Market Volatility Models by Hojin Lee

Subjects: “…Asymmetric GARCH Effect…”
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ÇOK DEĞİŞKENLİ GARCH MODELİYLE DÖVİZ KURLARINDA OYNAKLIK GEÇİŞİ by Üzeyir AYDIN

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Asymmetric GARCH Value-at-Risk over MSCI in Financial Crisis by Han Ching Huang, Yong-Chern Su, Jen-Tien Tsui

“… This paper uses four asymmetric GARCH models, which are GJR-GARCH, NA-GARCH, T-GARCH, and AV-GARCH to compare their performance on VaR forecasting to the symmetric GARCH model. …”
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Dynamical approach in studying stability condition of exponential (GARCH) models by Azhar Abbas Mohammad, Abduljabbar Ali Mudhir

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Use of tempered stable distributions in GARCH(1, 1) models by Uladzimir S. Tserakh

Subjects: “…garch model…”
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Asymptotic and Finite Sample Properties for Multivariate Rotated GARCH Models by Manabu Asai, Chia-Lin Chang, Michael McAleer, Laurent Pauwels

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Aplikasi GARCH dalam Mengatasi Volatilitas Pada Data Keuangan by , Hartati, Imelda Saluza

“…The results showed that the GARCH model is best suited to see volatility in the financial data.…”
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Asymmetric GARCH Value-at-Risk over MSCI in Financial Crisis by Han Ching Huang, Yong-Chern Su, Jen-Tien Tsui

“… This paper uses four asymmetric GARCH models, which are GJR-GARCH, NA-GARCH, T-GARCH, and AV-GARCH to compare their performance on VaR forecasting to the symmetric GARCH model. …”
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Asymmetric GARCH Value-at-Risk over MSCI in Financial Crisis by Han Ching Huang, Yong-Chern Su, Jen-Tien Tsui

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