Results 21 to 30 of about 27,670 (236)
Mathematics, 2022 This paper extends the conditional autoregressive range (CARR) model to the multivariate CARR (MCARR) model and further to the two-stage MCARR-return model to model and forecast volatilities, correlations and returns of multiple financial assets.
Shay Kee Tan +2 more
doaj +1 more source
Modeling Contagion of Financial Markets: A GARCH-EVT Copula Approach
Engineering Proceedings, 2023 To better assess the financial contagion through the VaR, several recent studies used copula models. In the same context, this paper addresses the inefficiency of the classical approach such as a normal distribution in modeling the tail risk, by using ...
Gueï Cyrille Okou, Amine Amar
doaj +1 more source
Spatial Autoregressive Conditional Heteroskedasticity Models
JOURNAL OF THE JAPAN STATISTICAL SOCIETY, 2017 Summary: This study proposes a spatial extension of time series autoregressive conditional heteroskedasticity (ARCH) models to those for areal data. We call the spatially extended ARCH models as spatial ARCH (S-ARCH) models. S-ARCH models specify conditional variances given surrounding observations, which constitutes a good contrast with time series ...
Sato, Takaki, Matsuda, Yasumasa
openaire +2 more sources
A TEST OF THE EFFICIENCY OF THE FOREIGN EXCHANGE MARKET IN INDONESIA
Buletin Ekonomi Moneter dan Perbankan, 2019 We test whether the Indonesian foreign exchange market is efficient. Since empirical evidence has been inconclusive, we employ a new generalized autoregressive conditional heteroskedasticity–based unit root test to examine the Efficient Market Hypothesis
Bernard Njindan Iyke
doaj +1 more source
Modeling the interaction across international conventional and Islamic stock indices
Cogent Economics & Finance, 2021 Islamic financial instruments have been experiencing rapid growth in the last 50 years. Despite the unique motivation in formulating them, namely based on Syariah law, their movement might link to those of the conventional ones.
Abdul Hakim +3 more
doaj +1 more source
Cogent Economics & Finance, 2021 This study compares the size and power of autoregressive conditional heteroskedasticity (ARCH) tests that are robust to the presence of a misspecified conditional mean.
Daiki Maki, Yasushi Ota
doaj +1 more source
Examination of Weekend Effect and Caparison of Individual and Legal Investor's Behavior During 1381-85 in Tehran Stock Exchange [PDF]
تحقیقات مالی, 2010 In this article using Autoregressive (AR), Autoregressive conditional heteroskedasticity (ARCH), Generalized autoregressive conditional heteroskedasticity (GARCH) Models we assess the weekend effect and also compare the trading patterns of individual and
Gholam Reza Eslami Bidgoli +1 more
doaj
Exponential Conditional Volatility Models [PDF]
, 2010 The asymptotic distribution of maximum likelihood estimators is derived for a class of exponential generalized autoregressive conditional heteroskedasticity (EGARCH) models.
Harvey, AC
core +4 more sources
The Generalized STAR Modeling with Heteroscedastic Effects
Cauchy: Jurnal Matematika Murni dan Aplikasi, 2022 In general, the Generalized Space Time Autoregressive (GSTAR) model of space-time assumes constant error variance. In this study, a GSTAR model was built with an error variance that was not constant or had a heteroscedasticity effect, namely the ...
Utriweni Mukhaiyar, Syahri Ramadhani
doaj +1 more source
Forecasting currency in circulation in Malaysia using arch and garch models [PDF]
, 2018 The monthly economic time series commonly contains the volatility periods and it is suitable to apply the Heteroscedastic model to it where the conditional variance is not constant throughout the time trend. The aim of this study is to model and forecast
Abdul Razak, Nur Azreen +3 more
core +1 more source