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...

This paper investigates the forecasting ability of five different versions of GARCH models. The five GARCH models applied are bivariate GARCH, GARCH-ECM, BEKK GARCH, GARCH-X and GARCH-GJR. Forecast errors based on four emerging stock futures portfolio return (based on forecasted hedge ratio) forecasts are employed to evaluate out-ofsample forecasting ability of the five GARCH models. Daily data...

To capture the missed information in the standardized errors by parametric multivariate generalized autoregressive conditional heteroskedasticity (MV-GARCH) model, we propose a new semiparametric MV-GARCH (SM-GARCH) model. This SM-GARCH model is a twostep model: firstly estimating parametric MV-GARCH model, then using nonparametric skills to model the conditional covariance matrix of the standa...

The augmented GARCH model is a unification of numerous extensions of the popular and widely used ARCH process. It was introduced by Duan and besides ordinary (linear) GARCH processes, it contains exponential GARCH, power GARCH, threshold GARCH, asymmetric GARCH, etc. In this paper, we study the probabilistic structure of augmented GARCH(1,1) sequences and the asymptotic distribution of various ...

When we last month interviewed Professor Klaas Jan Beek, Congress Director and former ITC rector, he mentioned (off the record) the name of Martien Molenaar as a member of the hard core photogrammetric tribe at ITC, which had yet to be convinced that the future of the institute lay in RS and GIS. In 1983 Molenaar was appointed professor at Wageningen Agricultural University (WAU), where Beek ha...

Van de Beek et al. present new important data concerning the clinical outcome of patients with alcoholism and pneumococcal meningitis. The data was derived from a subgroup analysis of the patient population of their comparative key study on neuropsychological sequelae after pneumococcal versus meningococcal meningitis (van de Beek et al., 2002). With respect to our paper, they raised three issu...

This brief note offers an explicit algorithm for a multivariate GARCH model, called PC-GARCH, that requires only univariate GARCH estimation. It is suitable for problems with hundreds or even thousands of variables. PC-GARCH is compared to two other techniques of getting multivariate GARCH using univariate estimates.

Materials and methods: One hundred eighty 21-day-old Yorkshire-Landrace pigs were randomly assigned to five treatments. Treatments were the unsupplemented, unmedicated basal diet (Control) and the basal diet supplemented with either 4.41 g per tonne flavomycin (Huvepharma, Inc, Peachtree City, Georgia; Flavomycin), 1.5 kg per tonne oregano oil (Van Beek Scientific, Orange City, Iowa; Oregano), ...