GARCH models are useful to estimate daily volatility in financial return series. When intra-day return data are available realized volatility may be used for the same purpose. We formulate a new model ...

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Journal of Applied Econometrics, Vol. 17, No. 5, Special Issue: Modelling and Forecasting Financial Volatility (Sep. - Oct., 2002), pp. 509-534 (26 pages) Theoretical and practical interest in ...

We consider a class of semiparametric GARCH models with additive autoregressive components linked together by a dynamic coefficient. We propose estimators for the additive components and the dynamic ...

There are several approaches to dealing with heteroscedasticity. If the error variance at different times is known, weighted regression is a good method. If, as is ...

This study examines how oil market volatility and clean energy trends impact the stock performance of automakers, ...