The generalized autoregressive conditional heteroskedasticity (GARCH) process is an econometric term used to describe an approach to estimate volatility in financial markets.

The constant conditional correlation general autoregressive conditional heteroskedasticity (GARCH) model is among the most commonly applied multivariate GARCH models and serves as a benchmark against ...

In this paper a flexible multiple regime GARCH (1, 1)-type model is developed to describe the sign and size asymmetries and intermittent dynamics in financial volatility. The results of the paper are ...