Nonstationary Generalised Autoregressive Conditional Heteroskedasticity Modelling for Fitting Higher Order Moments of Financial Series within Moving Time Windows

Figure 9

The evolution of the GARCH parameter for the period 2000–2009. The two plotted curves provide the upper and lower bounds of the confidence interval for estimated by the method described within Appendix A, for Gold ETFs (a) and Barclays Bank (b). In all figures, we see a large increase in the value of prior to the financial crisis of 2008, followed by a very large decrease either before or during the crisis period.

(a)

(b)