Predicting volatility of bitcoin returns with ARCH, GARCH and EGARCH models by Hakan Yıldırım, Festus Victor Bekun

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Forecasting Agricultural Commodity Prices with Asymmetric-Error GARCH Models by Octavio A. Ramirez, Mohamadou L. Fadiga

Subjects: “…garch…”
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Day of the Week Effect in Stock Returns by using Bootstrapping GARCH by سولماز صفری, فاطمه بزازان, شمس اله شیرین بخش ماسوله

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Correction: Different GARCH models analysis of returns and volatility in Bitcoin by Changlin Wang

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Predicting Co-Movement of Banking Stocks Using Orthogonal GARCH by Apriani Dorkas Rambu Atahau, Robiyanto Robiyanto, Andrian Dolfriandra Huruta

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ARMA-GARCH Model and temporal precedence between stock indices by Diego Garcia Angelico, Sandra Cristina de Oliveira

“…In this context, the main objective of this paper was to model the statistical volatility of the Bovespa Index (Ibovespa) and the Dow Jones Industrial Average Index, using ARMA-GARCH adjustments, in addition to checking the existence of a long- -term balance and temporal precedence between these variables, using the Johansen co-integration and Granger causality tests, respectively. …”
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Traffic speed prediction using GARCH‐GRU hybrid model by Muhammad Ali, Kamaludin Mohamad Yusof, Benjamin Wilson, Carina Ziegelmueller

“…This paper presents a novel technique, termed as GARCH‐GRU, based on additive decomposition that splits data into random (residual) and deterministic parts. …”
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Modeling the volatility of Bitcoin returns using Nonparametric GARCH models by Sami MESTIRI

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Kırmızı Et Fiyatlarının GARCH Yöntemiyle Analizi: Türkiye Örneği by Merve Ayyıldız, Adnan Çiçek

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Stock price fluctuations and GARCH modelling of stock market indexes by Bistra Radeva

Subjects: “…GARCH modelling…”
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Comparative Analysis of ARIMA and GARCH Methods to Predict Stock Prices by Atin Nuryatin

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Copula multivariate GARCH model with constrained Hamiltonian Monte Carlo by Burda Martin, Bélisle Louis

“…The Copula Multivariate GARCH (CMGARCH) model is based on a dynamic copula function with time-varying parameters. …”
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Portmanteau Goodness-of-Fit Test for Asymmetric Power GARCH Models by Michel Carbon, Christian Francq

“…The asymptotic distribution of a vector of autocorrelations of squared residuals is derived for a wide class of asymmetric GARCH models. Portmanteau adequacy tests are deduced. …”
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Dynamics of Inflation and Inflation Uncertainty Using ARFIMA- GARCH Model by Teymour Mohammadi, Reza Teleblou

“…In the next stage, we used ARFIMA residual for test GARCH model then that was used as inflation uncertainty. …”
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Nuisance parameters, composite likelihoods and a panel of GARCH models. by Pakel, C, Shephard, N, Sheppard, K

“…We investigate the properties of the composite likelihood (CL) method for (T × NT ) GARCH panels. The defining feature of a GARCH panel with timeseries length T is that, while nuisance parameters are allowed to vary across NT series, other parameters of interest are assumed to be common. …”

Nuisance parameters, composite likelihoods and a panel of GARCH models. by Pakel, C, Shephard, N, Sheppard, K

“…We investigate the properties of the composite likelihood (CL) method for (T x NT) GARCH panels. The defining feature of a GARCH panel with time series length T is that, while nuisance parameters are allowed to vary across NT series, other parameters of interest are assumed to be common. …”

Nuisance parameters, composite likelihoods and a panel of GARCH models by Shephard, N, Sheppard, K

“…We investigate the properties of the composite likelihood (CL) method for (T x NT) GARCH panels. The defining feature of a GARCH panel with time series length T is that, while nuisance parameters are allowed to vary across NT series, other parameters of interest are assumed to be common. …”

Comparing Temperature Density Forecasts from GARCH and Atmospheric Models by Taylor, J, Buizza, R

“…The resultant quantile forecasts compare favourably with those from a GARCH model. These results indicate the strong potential for the use of ensemble prediction in temperature density forecasting. …”

Variance targeting estimator for GJR-GARCH under model’s misspecification by Muhammad Asmu’i Abdul Rahim, Siti Meriam Zahari, S. Sarifah Radiah Shariff

“…Based on the results, VTE has performed very well compared to QMLE under both simulation and the applications of real data sets, which can be considered as an alternative estimator when performing GARCH model, especially the GJR-GARCH.…”
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Performance analysis of GARCH family models in three time-frames by Md. Jamal Hossain, Akter, Sadia, Mohd Tahir Ismail

“…Three sub-samples were considered to represent pre-crisis, crisis, and post-crisis between November 16, 2009 to July 31, 2013 representing 889 observations. Various GARCH family models were fitted in order to capture the volatility and their performances were compared.…”
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