[1] | R. F. Engle, “Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation,” Econometrica: Journal of the Econometric Society, pp. 987-1007, 1982. |
[2] | T. Bollerslev, “Generalized autoregressive conditional heteroskedasticity,” Journal of Econometrics, vol. 31, no. 3, pp. 307-327, 1986. |
[3] | D. B. Nelson, “Conditional Heteroscedasticity inAsset Returns: A New Approach,” Econometrica, vol. 59, pp. 347-370, 1991. |
[4] | F. Black, “Studies of Stock Price Volatility Changes,” in Proceedings of the 1976 Meeting of the Business and Economic Statistics Section, Washington DC, 1976. |
[5] | A. A. Christie, “The stochastic behavior of common stock variances: Value, leverage and interest rate effects,” Journal of Financial Economics, vol. 10, no. 4, pp. 407-432, 1982. |
[6] | L. Glosten, R. Jagannathan and D. E. Runkle, “On the relation between the expected value and the volatility of the nominal excess return on stocks,” The Journal of Finance, vol. 48, no. 3, p. 1779–1801, 1993. |
[7] | J. M. Zakoian, “ Threshold heteroskedastic models,” Journal of Economic Dynamics and Control, vol. 18, no. 5, pp. 931-955, 1994. |
[8] | J. Xu, Z. Zhang, L. Zhao and D. Ai, “The application review of GARCH model,” in Multimedia Technology (ICMT), 2011 International Conference, 2011 July. |
[9] | T. Teräsvirta, “An introduction to univariate GARCH models,” in Handbook of Financial Time Series, 2009, pp. 17-42. |
[10] | L. Bauwens, S. Laurent and J. V. Rombouts, “Multivariate GARCH models: A Survey,” Journal of Applied Econometrics, vol. 21, no. 1, pp. 79-109, 2006. |
[11] | C. Brooks, S. P. Burke and G. Persand, “Multivariate GARCH models: software choice and estimation issues,” Journal of Applied Econometrics, vol. 18, no. 6, pp. 725-734, 2003. |
[12] | S. H. Poon and C. W. Granger, “Forecasting volatility in financial markets: A review,” Journal of Economic Literature, vol. 41, no. 2, pp. 478-539, 2003. |
[13] | L. Hentschel, “All in the family nesting symmetric and asymmetric garch models,” Journal of Financial Economics, vol. 39, no. 1, pp. 71-104, 1995. |
[14] | C. G. Lamoureux and W. D. Lastrapes, “Persistence in variance, structural change, and the GARCH model,” Journal of Business & Economic Statistics, vol. 8, no. 2, pp. 225-234, 1990. |
[15] | R. E. Kass and A. E. Raftery, “Bayes factors,” Journal of the American Statistical Association, vol. 90 , no. 430, pp. 773-795, 1995. |
[16] | E. Ghysels, A. C. Harvey and E. Renault, “Stochastic Volatility,” in Statistical Methods in Finance, Handbook of Statistics, vol. 14, Amsterdam, Elsevier, 1996, pp. 119-191. |
[17] | E. Jacquier and N. G. R. P. E. Polson, “Bayesian Analysis of Stochastic Volatility Models,” Journal of Business & Economic Statistics, vol. 12, no. 4, pp. 371-389, 1994. |
[18] | G. Boako, A. A. Agyemang-Badu and J. M. Frimpong, “Volatility dynamics in equity returns: a multi-GARCH approach,” European Journal of Business and Innovation Research, vol. 3, no. 4, pp. 36-45, 2015. |
[19] | J. M. Frimpong and E. F. Oteng-Abayie, “Modelling and forecasting volatility of returns on the Ghana stock exchange using GARCH models,” American Journal of Applied Sciences, vol. 3, no. 10, pp. 2042-2048, 2006. |
[20] | P. Alagidede and Panagiotidis, “Modeling and forecasting volatility of returns on the Ghana stock exchange using GARCH models,” Journal of Emerging Market in Finance, vol. 4, no. 2, pp. 115-132, 2006. |
[21] | H. Jeffreys, Theory of Probability, 3 ed., Oxford University Press, 1961. |
[22] | P. Clark, “A subordinated stochastic process model with finite variance for speculative prices,” Econometrica, vol. 41, pp. 135-156, 1973. |
[23] | S. Taylor, “Financial returns modelled by the product of two stochastic processes, a study of sugar prices, 1961-1979,” in Time series analysis: Theory and practice, Amsterdam, North-Holland, 1982, pp. (pp. 203-226). |
[24] | T. G. Andersen, “Stochastic autoregressive volatility: A framework for volatility modeling,” Mathematical Finance, vol. 4, pp. 75-102, 1994. |
[25] | J. Hull and A. White, “The pricing of options on assets with stochastic volatilities.,” The Journal of Finance, vol. 42 , no. 2, pp. 281-300, 1987. |
[26] | C. A. Ball and A. Roma, “Stochastic volatility option pricing,” Journal of Financial and Quantitative Analysis, vol. 29, no. 4, pp. 589-607, 1994. |
[27] | G. Jones, R. Makarov, G. Jones and R. Makarov, “ Pricing Options with Hybrid Stochastic Volatility Models. Pricing Options with Hybrid Stochastic Volatility Models,” in Mathematical and Computational Approaches in Advancing Modern Science , 2016. |
[28] | M. Lorig and R. Sircar, “Stochastic volatility: Modeling and asymptotic approaches to option pricing and portfolio selection,” in Fundamentals of Financial Signal Processing, New York, Wiley, 2016, pp. 135-160. |
[29] | D. G. Hobson and L. C. Rogers, “Complete models with stochastic volatility,” Mathematical Finance, vol. 8, no. 1, pp. 27-48, 1998. |
[30] | E. Renault and N. Touzi, “Option hedging and implied volatilities in a stochastic volatility model,” Mathematical Finance, vol. 6, no. 3, pp. 279-302, 1996. |
[31] | L. Andersen and J. Andreasen, “Jump-diffusion processes: Volatility smile fitting and numerical methods for option pricing,” Review of Derivatives Research, vol. 4, no. 3, pp. 231-262, 2000. |
[32] | J. P. Fouque, G. Papanicolaou, R. Sircar and K. Solna, “Multiscale stochastic volatility asymptotics,” Multiscale Modeling & Simulation, vol. 2, no. 1, pp. 22-42, 2003. |
[33] | T. Busch, B. J. Christensen and M. Ø. Nielsen, “The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets,” Journal of Econometrics, vol. 160, no. 1, pp. 48-57, 2011. |
[34] | S. Yan, “Jump risk, stock returns, and slope of implied volatility smile,” Journal of Financial Economics, vol. 99, no. 1, pp. 216-233, 2011. |
[35] | G. Kastner, “Dealing with stochastic volatility in time series using the R package stochvol,” Journal of Statistical Software, vol. 69, no. 5, pp. 1-30, 2016. |
[36] | S. Kim, N. Shephard and S. Chib, “Stochastic volatility: likelihood inference and comparison with ARCH models,” The Review of Economic Studies, vol. 65, no. 3, pp. 361-393, 1998. |
[37] | S. Frühwirth-Schnatter and H. Wagner, “Stochastic Model Specification Search for Gaussian and Partial Non-Gaussian State Space Models,” Journal of Econometrics, vol. 154, no. 1, p. 85–100, 2010. |
[38] | P. R. Hansen and A. Lunde, “A forecast comparison of volatility models: does anything beat a GARCH (1, 1)?,” Journal of Applied Econometrics, vol. 20, no. 7, pp. 873-889, 2005. |
[39] | C. C. Okeahalam, “Corporate governance and disclosure in Africa: Issues and challenges,” Journal of Financial Regulation and Compliance, vol. 12, no. 4, pp. 359-370, 2004. |