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 ...

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.

The fulfillment of the UNL vision is primarily conditioned on the successful deployment of deconverters, each translating from the UNL into a target language. According to current practice, developing deconverters ultimately means configuring DeCo, the deconversion engine provided by the UNDL Foundation. However, DeCo has a number of limitations that hinder productivity and might even preclude ...

Presents a photograph of the newly restored Control Room A at Battersea Power Station in London. For half century, electric power hub controlled flow current that met one-fifth London’s electricity demand. The was decommissioned 1983. Now it has been returned to its original 1930s Art Deco glory. painstaking restoration, complete with period details— including gauges engineers relied on when st...