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Practical Issues in the Analysis of Univariate GARCH Models

In: Handbook of Financial Time Series

Author

Listed:
  • Eric Zivot

    (University of Washington, Department of Economics)

Abstract

This chapter gives a tour through the empirical analysis of univariate GARCH models for financial time series with stops along the way to discuss various practical issues associated with model specification, estimation, diagnostic evaluation and forecasting.

Suggested Citation

  • Eric Zivot, 2009. "Practical Issues in the Analysis of Univariate GARCH Models," Springer Books, in: Thomas Mikosch & Jens-Peter Kreiß & Richard A. Davis & Torben Gustav Andersen (ed.), Handbook of Financial Time Series, chapter 5, pages 113-155, Springer.
    • Handle: RePEc:spr:sprchp:978-3-540-71297-8_5
    DOI: 10.1007/978-3-540-71297-8_5
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    Cited by:

    1. Xie, Ran & Isengildina-Massa, Olga Isengildina- & Sharp, Julia L., 2014. "Quantifying Public and Private Information Effects on the Cotton Market," 2014 Conference, April 21-22, 2014, St. Louis, Missouri 285815, NCR-134/ NCCC-134 Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
    2. Daitri Tiwary & Khanindra Ch. Das & Jagdish Shettigar & Pooja Misra, 2022. "Exchange Rate Volatility and Financial Stress: Evidence from Developing Asia," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 21(4), pages 355-384, December.
    3. Fouzia Alloul & El Mehdi Ferrouhi, 2025. "Effect of Weather on Sectoral Stock Indices Returns and Volatilities: Evidence from the Moroccan Stock Market," Global Journal of Emerging Market Economies, Emerging Markets Forum, vol. 17(3), pages 431-452, September.

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