In this paper, a local 𝑀-estimation for the conditional variance function in heteroscedastic regression models under stationary α-mixing dependent samples is developed. The local 𝑀-estimator is ...

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The exponentially weighted moving average (EWMA) estimator is widely used to forecast the conditional volatility of short-horizon asset returns. The EWMA estimator is appropriate when returns are ...

Journal of the Royal Statistical Society. Series B (Statistical Methodology), Vol. 80, No. 5 (2018), pp. 975-993 (19 pages) Estimating conditional quantiles of financial time series is essential for ...

Abstract: A radar detection scheme based on a GARCH clutter model has been proposed recently. This adaptive detector depends on the conditional variance of the GARCH ...

ABSTRACT: This study investigated the performance of eleven competing time series GARCH models for fitting the rate of returns data, monthly observations on the index returns series of the market over ...