For forecasting, combining ARIMA and ARCH models could be considered. For instance, a hybrid ARIMA-ARCH model was examined econometrics by example gujarati pdf shipping freight rate forecast.

Chi-square table value, we do not reject the null hypothesis. As an alternative to GARCH modelling it has some attractive properties such as a greater weight upon more recent observations, but also drawbacks such as an arbitrary decay factor that introduces subjectivity into the estimation. Individual values that are larger than this indicate GARCH errors. The null hypothesis states that there are no ARCH or GARCH errors. This model should not be confused with the NARCH model, together with the NGARCH extension, introduced by Higgins and Bera in 1992. This is particularly useful in an asset pricing context.

GARCH models including APARCH, GJR, AVGARCH, NGARCH, etc. Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation”. It is not yet clear in the finance literature that the asymmetric properties of variances are due to changing leverage. The name “leverage effect” is used simply because it is popular among researchers when referring to such a phenomenon. A Class of Nonlinear Arch Models”.

Estimating EGARCH-M Models: Science or Art”. All in the family Nesting symmetric and asymmetric GARCH models”. A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour”. Autoregressive Conditional Heteroscedasticity with Estimates of Variance of United Kingdom Inflation”. GARCH Models in Applied Econometrics”. A Test for Multivariate ARCH Effects”. Conditional Heteroskedasticity in Asset Returns: A New Approach”.