The conditional variance, skewness, and kurtosis play a central role in time series analysis. These three conditional moments (CMs) are often studied by some parametric models but with two big issues: ...

1 Graduate Institute of Finance, National Taiwan University of Science and Technology, Taipei City. 2 Department of Finance, National Kaohsiung First University of Science and Technology, Kaohsiung ...

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 project focused on modeling and forecasting the one-day-ahead volatility of the Nifty 50 index using an ARCH–GARCH framework. The forecasts of conditional variance were further translated into 99 ...