international econometric journal
in Russian language
This article presents a survey of the developments of univariate GARCH models. ARCH, GARCH, EGARCH and other possible nonlinear extensions are examined. Conditions for stationarity (weak and strong) are presented. Inference and testing is presented in the quasi-maximum likelihood framework. Continuous GARCH approximations are discussed.
essay tries to provide a straightforward and sufficiently accessible
demonstration of some known procedures for stochastic volatility model. It re
We propose a new approach to testing for predictive ability in the presence of structural breaks in data. Our approach extends the well-known results of West (1996) and West & McCracken (1998), and is alternative to methods developed in Giacomini & White (2006) and Giacomini & Rossi (2010).