Forecasting BDI Sea Freight Shipment Cost, VIX Investor Sentiment and MSCI Global Stock Market Indicator Indices: LSTAR-GARCH and LSTAR-APGARCH Models [PDF]
Mathematics, 2023 Prediction of the economy in global markets is of crucial importance for individuals, decisionmakers, and policies. To this end, effectiveness in modeling and forecasting the directions of such leading indicators is of crucial importance.
Melike E Bildirici, Özgür Ömer Ersin
exaly +6 more sources
Modeling Markov switching ARMA-GARCH neural networks models and an application to forecasting stock returns. [PDF]
ScientificWorldJournal, 2014 The study has two aims. The first aim is to propose a family of nonlinear GARCH models that incorporate fractional integration and asymmetric power properties to MS-GARCH processes.
Bildirici M, Ersin Ö.
europepmc +3 more sources
Examination of information release on return volatility: A market and sectoral analysis. [PDF]
Heliyon, 2020 This paper examines the role of information release in explaining the return volatility of the Australian equity market. The study applies proxies of greater accuracy to examine the effect of public and private information on return volatility.
Prasad M, Bakry W, Varua ME.
europepmc +4 more sources
Nonlinear Volatility Models in Economics: Smooth Transition and Neural Network Augmented GARCH, APGARCH, FI-GARCH and FIAGARCH Models [PDF]
SSRN Electronic Journal, 2012 Bu çalışmada, beş ülkenin kredi temerrüt takası (CDS) getirilerinde (Brezilya, Rusya, Çin, Güney Afrika ve Türkiye) farklı hata dağılımlarına bağlı olarak oynaklık yapılarını belirlemek üzere Ding, Granger and Engle (1993) tarafından ileri sürülen Genelleştirilmiş Asimetrik Üslü ARCH (APGARCH) modelinin uygulanabilirliği araştırılmıştır.
Melike Bildirici, Özgür Ömer Ersin
+5 more sources
Analysis of Models (NAGARCH & APGARCH) by Using Simulations
Journal of Economics and Administrative Sciences, 2022 Simulation experiments are a means of solving in many fields, and it is the process of designing a model of the real system in order to follow it and identify its behavior through certain models and formulas written according to a repeating software style with a number of iterations.
Heba Alwan, Suhail Najm Abdulla
openalex +3 more sources
An APGARCH Investigation of the Main Influences on the Gold Price
SSRN Electronic Journal, 2005 The paper investigates whether the asymmetric power GARCH model (APGARCH) introduced by Ding, Granger and Engle (1993) captures the dynamics of the gold market. This paper examines both the cash and futures price of gold and significant economic variables identified during two periods: the 1987 crisis and the 2001 crisis.
Edel Tully, Brian M. Lucey
openalex +2 more sources
Statistical inference for the APGARCH and threshold APGARCH models
, 2011 published_or_final_version ; Statistics and Actuarial Science ; Master ; Master of ...
Qiming Chen
openalex +3 more sources
The impact of ESG news on the volatility of the Portuguese stock market—Does it change during recessions? [PDF]
Business Strategy and the Environment, Volume 32, Issue 8, Page 5821-5832, December 2023., 2023 Abstract This paper assesses how environmental, social, and governance (ESG) news influence Portuguese stock market volatility depending on the business cycle. Given the lack of an adequate index to capture the effects of ESG media on the Portuguese stock market, a News Sentiment Index is developed.
Cássio Zanatto +3 more
wiley +3 more sources
Hybrid deep learning and GARCH-family models for forecasting volatility of cryptocurrencies
Machine Learning With Applications, 2023 The combination of Deep Learning and GARCH-type models has been proved to be superior to the single models in forecasting of volatility in various markets such as energy, main metals, and especially stock markets.
Salim Lahmiri
exaly +3 more sources
О стационарности процесса APGARCH(p,q)
, 2015 Рассматривается необходимое и достаточное условие для существования единственного стационарного в узком смысле решения модели APGARCH(p,q). В качестве примера приводится модель APGARCH(1,1).
В. С. Терех
openalex +2 more sources