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• W294989135 abstract "This study evaluates the performance of alternative volatility models, including EGARCH, FIEGARCH, EGARCH-jump, and EGARCH- skewed-t models, on model fitting, volatility forecasting, and Value-at-Risk (VaR) prediction. As compared with the simple EGARCH model, the EGARCH-jump model demonstrates significant improvements, outperforming every other model in almost all aspects, but the computation load substantially increases by the inclusion of jump dynamics. If less expensive volatility models are preferred, then alternatives may include the use of the EGARCH-skewed-t model for model fitting and VaR prediction, and the FIEGARCH model for volatility forecasting, since these models also demonstrate fairly good performance for these specific purposes. Furthermore, since the FIEGARCH model demonstrates relatively good performance with regard to U.S. stock market returns only, this suggests that the long-memory pattern captured by the fractionally-integrated volatility model may not be a global stylized fact." @default.
• W294989135 created "2016-06-24" @default.
• W294989135 creator A5034696208 @default.
• W294989135 creator A5090700953 @default.
• W294989135 date "2006-01-01" @default.
• W294989135 modified "2023-09-23" @default.
• W294989135 title "The Performance of GARCH Models with Short-memory, Long-memory, or Jump Dynamics: Evidence from Global Financial Markets" @default.
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• W294989135 hasPublicationYear "2006" @default.
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