, 2018 This thesis present some contributions to the financial series modelling, especially in the deve- lopment of models extensions and in the development of tools useful for the models validation.
Kadmiri, Othman
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Evaluating Switching GARCH Volatility Forecasts During the Recent Financial Crisis [PDF]
, 2014 Forecasting volatility is a fundamental topic in in both academic and applied financial economics. Different GARCH-specifications are by far the most popular model based approach used for this purpose.
Augustsson, Viktor
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Volatility of Stock Return in ISE in Political Instability Period: Regime-Switching AP-GARCH Test
In this study, volatility of sock return behavior through a regime-Switching Asymmetric Power GARCH Model (RS-APGARCH) analyses in Istanbul Stock Exchange (ISE), Turkey, during the period of 1988-2006 and show that ISE's asymmetric response and the ...
Sadiye Oktay, Melike Bildirici
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Modelling and forecasting the volatility of JSE returns: a comparison of competing univariate GARCH models [PDF]
, 2015 Thesis (M.M. (Finance & Investment))--University of the Witwatersrand, Faculty of Commerce, Law and Management, Graduate School of Business Administration, 2014.The objective of the study was to identify the best approach participants in South ...
Kgosietsile, Oratile
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Volatilitas return saham yang tinggi menjadi tantangan dalam aktivitas investasi, terutama di pasar modal Indonesia yang terdiri atas papan utama, pengembangan, dan akselerasi.
Raharjo, Rachel Ayuningtyas Putri
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Geometric Ergodicity for Asymmetric Power GARCH(p,q) Model
, 2010 Engle(1982)과 Bollerslev(1986)에 의해 ARCH/GARCH 모형이 소개되었으며, 특히 GARCH 모형은 재무 자료의 변동성과 heavy tail을 설명하는 데에 널리 이용되어 왔다. 또한, GARCH 모형의 여러 변형된 형태가 소개되었는데, 이 논문에서는 그 중에서도 Ding, Anderson, Engle(1993)에 의해 제안된 asymmetric power GARCH 모형을 다루었다.
박세나
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An empirical evaluation of fuzzy bidirectional long short-term memory with soft computing based decision-making model for predicting volatility of cryptocurrencies. [PDF]
Sci RepRagab M.
europepmc +1 more source
En empirisk studie av Value-at-Risk-prediktering med hjälp av GARCH-modeller
, 2007 This paper describes a study examining four different GARCH models AR(1)-GARCH(1,1), AR(1)-EGARCH(1,1), AR(1)-APGARCH(1,1) and AR(1)-GJR-GARCH(1,1), and their ability to predict future volatility and thereby providing more reliable estimates for Value-at-
Andersson, Emma, Gustafsson, Björn
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Estimating and Forecasting APARCH-Skew-t Models by Wavelet Support Vector Machines
, 2012 This paper concentrates on comparing estimation and forecasting ability of Quasi-Maximum Likelihood (QML) and Support Vector Machines (SVM) for financial data. The financial series are fitted into a family of Asymmetric Power ARCH (APARCH) models. As the
Li, Yushu
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Source tracing and contagion measurement of carbon emission trading price fluctuation in China from the perspective of major emergencies. [PDF]
PLoS OneWu B, Wang H, Xie B, Xie Z.
europepmc +1 more source