Analyze American and Brazilian stock market volatility using the Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model and correlating with energy prices.
Various parametric volatility models for financial data have been developed to incorporate high-frequency realized volatilities and better capture market dynamics. However, because high-frequency trad
Realistic models for financial asset prices used in portfolio choice, option pricing or risk management include both a continuous Brownian and a jump components. This paper studies our ability to dist
This paper introduces a new class of nonlinear models known as the Z-valued smooth transition GARCH model, designed to accommodate Z-valued time series that display asymmetric, nonlinear and highly pe
