Results 11 to 20 of about 27,670 (236)
Generalized Autoregressive Conditional Heteroskedasticity [PDF]
Journal of Econometrics, 1986 Abstract A natural generalization of the ARCH (Autoregressive Conditional Heteroskedastic) process introduced in Engle (1982) to allow for past conditional variances in the current conditional variance equation is proposed. Stationarity conditions and autocorrelation structure for this new class of parametric models are derived.
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Short-term user load forecasting based on GARCH-M family model with different distributions
电力工程技术, 2022 Power load forecasting is one of the basic tasks power system research,and time series analysis is currently the most widely used forecasting method. Aiming at the fluctuation and the characteristics of peak and thick tail of user daily load time series ...
WANG Chen, YE Jiangming, HE Jiahong
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Probabilistic Forecasting of Wind Power Generation Using Online LASSO VAR and EGARCH Model
Shanghai Jiaotong Daxue xuebao, 2023 Wind power generation has uncertainty due to the high fluctuation of wind speed. In traditional wind power prediction models, the uncertainty is measured by normal distribution with zero mean and constant variance.
WANG Peng, LI Yanting, ZHANG Yu
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Dynamic Volatility Modeling of Indonesian Insurance Company Stocks
Jurnal Ekonomi dan Studi Pembangunan, 2022 The Indonesian capital market is one of the investment destination countries for investors in developed countries. The development of economic conditions in Indonesia itself is considered suitable for investors to invest.
Budiandru Budiandru
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Mildly Explosive Autoregression Under Stationary Conditional Heteroskedasticity [PDF]
Journal of Time Series Analysis, 2018 A limit theory is developed for mildly explosive autoregressions under stationary (weakly or strongly dependent) conditionally heteroskedastic errors. The conditional variance process is allowed to be stationary, integrable and mixingale, thus encompassing general classes of generalized autoregressive conditional heteroskedasticity‐type or stochastic ...
Arvanitis, Stelios, Magdalinos, Tassos
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International Journal of Financial Studies, 2021 This study investigated the impact of the introduction of the VN30-Index futures contract on the daily returns anomaly for the Ho Chi Minh Stock Exchange (HOSE).
Loc Dong Truong, H. Swint Friday
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Neural Generalised AutoRegressive Conditional Heteroskedasticity
, 2022 We propose Neural GARCH, a class of methods to model conditional heteroskedasticity in financial time series. Neural GARCH is a neural network adaptation of the GARCH 1,1 model in the univariate case, and the diagonal BEKK 1,1 model in the multivariate case.
Yin, Zexuan, Barucca, Paolo
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ANALISIS EFEK MUSIM HUJAN DAN KEMARAU TERHADAP HARGA BERAS
Jurnal Manajemen Industri dan Logistik, 2018 This study analyzes the effects of the rainy and dry seasons on rice prices. Autoregressive and Moving Average (ARMA) and Autoregressive Conditional Heteroskedasticity / Generalized Autoregressive Conditional Heteroskedasticity (ARCH / GARCH) with a ...
Kumara Jati
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Are soft commodities markets affected by the Halloween effect?
Agricultural Economics (AGRICECON), 2021 Within the last three decades commodity markets, including soft commodities markets, have become more and more like financial markets. As a result, prices of commodities may exhibit similar patterns or anomalies as those observed in the behaviour of ...
Monika Krawiec, Anna Górska
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How influential is monetary policy on Ibovespa returns and volatility? [PDF]
EconomiAPurposeIs monetary policy neutral to Ibovespa index returns and volatility? To approximate neutrality, the Brazilian Government has implemented a system in which the financial sector’s economic agents contribute to their daily predictions about future ...
Joilson Giorno +2 more
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