References
- T. Angelidis, A. Benos, and S. Degiannakis, The use of GARCH models in VaR estimation, Statist. Methodol. 1 (2004), pp. 105–128. doi: 10.1016/j.stamet.2004.08.004
- O.E. Barndorff-Nielsen, E. Nicolato, and N.G. Shephard, Some recent developments in stochastic volatility modelling, Quant. Fin. 2 (2002), pp. 11–23. doi: 10.1088/1469-7688/2/1/301
- F. Black, The pricing of commodity contracts, J. Fin. Eco. 3 (1976), pp. 167–179. doi: 10.1016/0304-405X(76)90024-6
- T. Bollerslev, Generalized autoregressive conditional heteroscedasticity, J. Econom. 31 (1986), pp. 307–327. doi: 10.1016/0304-4076(86)90063-1
- G.E.P. Box, G.M. Jenkins, and G.C. Reinsel, Time Series Analysis: Forecasting and Control, 4th ed., Prentice-Hall, New Jersey, 2008.
- C. Broto and E. Ruiz, Estimation methods for stochastic volatility models: A survey, J. Econ. Surv. 31 (2004), pp. 613–649. doi: 10.1111/j.1467-6419.2004.00232.x
- J. Durbin and S.J. Koopman, Time Series Analysis by State Space Models, Oxford University Press, Oxford, 2001.
- R.F. Engle, Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation, Econometrica 50 (1982), pp. 987–1007. doi: 10.2307/1912773
- H. Ghosh and Prajneshu, Nonlinear time-series modelling of volatile onion price data using AR (p)-ARCH (q)-in-Mean, Calcutta Statist. Assoc. Bull. 54 (2003), pp. 231–247.
- E. Ghysels, A.C. Harvey, and E. Renault, Stochastic volatility, in Handbook of Statistics 14, Statistical Methods in Finance, G.S. Maddala and C.R. Rao, eds., North Holland, Amsterdam, 1995, pp. 119–191.
- H. Goudarzi and C.S. Ramanarayanan, Modelling asymmetric volatility in the Indian stock market, Int. J. Bus. Manage. 6 (2011), pp. 221–231. doi: 10.5539/ijbm.v6n3p221
- A.C. Harvey and N. Shephard, Estimation of an asymmetric volatility model for asset returns, J. Bus. Econ. Statist. 14 (1996), pp. 429–434.
- D. Kumar and S. Maheswaran, Modelling asymmetry and persistence under the impact of sudden changes in the volatility of the Indian stock market, IIMB Manage. Rev. 24 (2012), pp. 123–136. doi: 10.1016/j.iimb.2012.04.006
- M. Lanne and P. Saikkonen, Modelling the U.S. short-term interest rate by mixture autoregressive processes, J. Fin. Econ. 1 (2003), pp. 96–125.
- M. Mahesha, International price volatility of Indian spices exports − an empirical analysis, Asia Pac. J. Res. Bus. Manage. 2 (2011), pp. 110–116.
- A. Pagan, Econometrics of financial markets, J. Emp. Fin. 3 (1996), pp. 15–102. doi: 10.1016/0927-5398(95)00020-8
- R.K. Paul, Prajneshu, and H. Ghosh, GARCH nonlinear time series analysis for modelling and forecasting of India's volatile spices export data, J. Ind. Soc. Agric. Statist. 63 (2009), pp. 123–131.
- S.J. Taylor, Modelling stochastic volatility: A review and comprehensive study, Math. Fin. 4 (1994), pp. 183–204. doi: 10.1111/j.1467-9965.1994.tb00057.x