Results 51 to 60 of about 121 (73)

A Measuring Approach of Portfolio's VaR Based on APGARCH-EWMA Model

2010 Third International Symposium on Information Processing, 2010
Value at Risk (VaR) is a commonly statistical tool to measure market risk. In this paper, a mixture method of APGARCH-M model and EWMA algorithm is applied to measure VaR of a portfolio. Empirical study using three stock index of shanghai stock market shows the mixture method is advantageous and accurate to calculate VaR of a portfolio.
Ping Wang
exaly   +3 more sources

An Apgarch Investigation of the Main Influences on the Gold Price

, 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
openaire   +2 more sources

О стационарности процесса APGARCH(p,q) [PDF]

, 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).
Терех, В. С.
openaire   +2 more sources

Improving forecasts of GARCH family models with the artificial neural networks: An application to the daily returns in Istanbul Stock Exchange

Expert Systems With Applications, 2009
In the study, we discussed the ARCH/GARCH family models and enhanced them with artificial neural networks to evaluate the volatility of daily returns for 23.10.1987-22.02.2008 period in Istanbul Stock Exchange.
Özgür Ersin, Melike Bildirici
exaly   +2 more sources

APGARCH Modeling of CDS Returns

, 2015
URAL, MERT, DEMİRELİ, ERHAN
core   +3 more sources

Volatility Forecasts Jakarta Composite Index (JCI) and Index Stock Volatility Sector with Estimated Time Series [PDF]

Indonesian Capital Market Review, 2020
This study aims to explore the comparative ability of forecasting models and the time series volatility of capital markets in Indonesia using JCI daily index data and sectoral indices from January 2010 to December 2014. The use of ARCH-family ARCH model (
Muhammad Rifki Bahtiar; Faculty of Economics and Business, University of AKI, Indonesia
exaly   +3 more sources

Finansal krizlerin tahmininde kullanılan öngörü değişkenlerinin LSTAR-GARCH, LSTAR-APGARCH ile analizi

, 2022
IŞIL ŞAHİN ONAT
openaire   +2 more sources

Forecasting volatility in oil prices with a class of nonlinear volatility models: smooth transition RBF and MLP neural networks augmented GARCH approach [PDF]

Petroleum Science, 2015
In this study, the forecasting capabilities of a new class of nonlinear econometric models, namely, the LSTAR-LST-GARCH-RBF and MLP models are evaluated. The models are utilized to model and to forecast the daily returns of crude oil prices.
Özgür Ersin, Melike Bildirici
exaly   +2 more sources

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Using apgarch/avgarch models Gaussian and non-Gaussian for modeling volatility exchange rate

2022
Abdulla, Suhail, Dhaher Alwan, Heba
openaire   +1 more source

Modeling the symmetric relation between Baltic Exchange indexes

Maritime Business Review, 2023
Kasra Pourkermani
exaly