Results 11 to 20 of about 7,709 (301)
Mixed normal conditional heteroskedasticity [PDF]
, 2002 Both unconditional mixed-normal distributions and GARCH models with fat-tailed conditional distributions have been employed for modeling financial return data. We consider a mixed-normal distribution coupled with a GARCH-type structure which allows for conditional variance in each of the components as well as dynamic feedback between the components ...
Paolella, Marc +2 more
openaire +4 more sources
SIMULTANEOUSLY MODELING CONDITIONAL HETEROSKEDASTICITY AND SCALE CHANGE [PDF]
Econometric Theory, 2004 Summary: This paper proposes a semiparametric approach by introducing a smooth scale function into the standard generalized autoregressive conditional heteroskedastic (GARCH) model so that conditional heteroskedasticity (CH) and scale change in financial returns can be modeled simultaneously.
Yuanhua Feng
openaire +4 more sources
Mixed Exponential Power Asymmetric Conditional Heteroskedasticity [PDF]
Studies in Nonlinear Dynamics & Econometrics, 2009 To match the stylized facts of high frequency financial time series precisely and parsimoniously, this paper presents a finite mixture of conditional exponential power distributions where each component exhibits asymmetric conditional heteroskedasticity. We provide stationarity conditions and unconditional moments to the fourth order. We apply this new
Mohammed Bouaddi, Jeroen V.K. Rombouts
openaire +5 more sources
Periodic Autoregressive Conditional Heteroscedasticity [PDF]
Journal of Business & Economic Statistics, 1996 Most high-frequency asset returns exhibit seasonal volatility patterns. This article proposes a new class of models featuring periodicity in conditional heteroscedasticity explicitly designed to capture the repetitive seasonal time variation in the second-order moments. This new class of periodic autoregressive conditional heteroscedasticity, or P-ARCH,
Bollerslev, T, Ghysels, E
openaire +2 more sources
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
doaj +1 more source
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
doaj +1 more source
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
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
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
SUBGEOMETRICALLY ERGODIC AUTOREGRESSIONS WITH AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY
Econometric Theory, 2023 In this paper, we consider subgeometric (specifically, polynomial) ergodicity of univariate nonlinear autoregressions with autoregressive conditional heteroskedasticity (ARCH). The notion of subgeometric ergodicity was introduced in the Markov chain literature in the 1980s, and it means that the transition probability measures converge to the ...
Mika Meitz, Pentti Saikkonen
openaire +3 more sources