Practical Issues in the Analysis of Univariate GARCH Models

By Eric Zivot. 2009

217 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/686ab78f58999bcd67ad342c28f9c6a5d32454c1

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Janina Ketterer
2. N. Minot
3. L. Pham
4. Xiaoguang Zhou
5. Yadi Cui

In Finance

1. Janina Ketterer
2. N. Minot
3. L. Pham

Citations in the corpus

• Food price volatility in sub-Saharan Africa: Has it really increased? (2012, background): “This is not surprising given that the log-likelihood function of the GARCH model is not always well behaved and achieving a global maximum is sometimes difficult (Zivot, 2009).”
• Is it risky to go green? A volatility analysis of the green bond market (2016, background): “This section presents a simple framework to uncover this possible asymmetric leverage effects in a given time series, according to Zivot (2008).”
• The impact of wind power generation on the electricity price in Germany (2014, background): “25The half-live of shocks can be calculated by ln(0.5)/ln(α+β), and the conditional variance reverts back to its mean after 5.91 days (Zivot, 2009).”