Results 91 to 100 of about 12,191 (249)

Model Exponential GARCH (EGARCH) Untuk Memprediksi Harga Saham PT Merdeka Copper Gold Tbk

, 2023
Agnes Eunike Sangian, Nelson Nainggolan, Deiby T Salaki   +2 more
openalex   +2 more sources

A Fusion of Statistical and Machine Learning Methods: GARCH-XGBoost for Improved Volatility Modelling of the JSE Top40 Index

International Journal of Financial Studies
Volatility modelling is a key feature of financial risk management, portfolio optimisation, and forecasting, particularly for market indices such as the JSE Top40 Index, which serves as a benchmark for the South African stock market.
Israel Maingo, Thakhani Ravele, Caston Sigauke   +2 more
doaj   +1 more source

Trends and Volatilities in Heterogeneous Patent Quality in Taiwan

Journal of Technology Management & Innovation, 2009
This study analyzes patent trends and volatilities for three heterogeneous quality patents in the Taiwan patent system from January 1973 to June 2006. The estimated models are symmetric GARCH and asymmetric EGARCH, providing full sample, rolling sample ...
Wen-Cheng Lu, Jong-Rong Chen, I-Hsuan Tung   +2 more
doaj   +1 more source

Modeling and Forecasting Volatility of the Malaysian and the Singaporean stock indices using Asymmetric GARCH models and Non-normal Densities [PDF]

This paper examines and estimate the three GARCH(1,1) models (GARCH, EGARCH and GJR-GARCH) using the daily price data. Two Asian stock indices KLCI and STI are studied using daily data over a 14-years period.
Abu Hassan, Ahmed Shamiri
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Asymmetric Response of Volatility: Evidence from Stochastic Volatility Models and Realized Volatility [PDF]

This paper examines the asymmetric response of equity volatility to return shocks. We generalize the news impact function (NIF), originally introduced by Engle and Ng (1993) to study asymmetric volatility under the ARCH-type models, to be applicable to ...
Jun Yu
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Does the fear gauge predict downside risk more accurately than econometric models? Evidence from the US stock market

Cogent Economics & Finance, 2016
This paper empirically compares the usefulness of information included in the volatility index (VIX) against several generalized autoregressive conditional heteroskedasticity (GARCH) models for predicting downside risk in the US stock market.
Chikashi Tsuji
doaj   +1 more source

Dynamic asymmetric financial connectedness under tail dependence and rendered time variance: Selected evidence from emerging MENA stock markets

Borsa Istanbul Review, 2019
We study the volatility connectedness of stock market prices over various time horizons. We adopt a novel combination of copula and the asymmetric GARCH function (EGARCH) to fit this type of joint distribution consisting of the marginal distribution and ...
Huthaifa Alqaralleh, Diyama Awadallah, Noor Al-Ma'aitah   +2 more
doaj   +1 more source

Empirical Results of Modeling EUR/RON Exchange Rate using ARCH, GARCH, EGARCH, TARCH and PARCH models [PDF]

Revista Română de Statistică, 2017
The aim of this study consists in examining the changes in the volatility of daily returns of EUR/RON exchange rate using on the one hand symmetric GARCH models (ARCH and GARCH) and on the other hand the asymmetric GARCH models (EGARCH, TARCH and PARCH),
Andreea – Cristina PETRICĂ, Stelian STANCU   +1 more
doaj  

The day of the week effects in Indonesia, Singapore, and Malaysia stock market [PDF]

Efficient market stated that stock’s return is indifferent in each trading day. But, the day of the week effects phenomenon made a different return in each single day in a week.
Anwar, Yunita, Mulyadi, Martin Surya
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PERBANDINGAN METODE EGARCH, JARINGAN SYARAF TIRUAN DAN NEURO-EGARCH UNTUK PERAMALAN DATA SAHAM : Studi Kasus Harga Saham Astra Internasional Tbk. [PDF]

, 2014
Saham adalah tanda penyertaan modal seseorang atau pihak dalam suatu perseroan terbatas. Data saham sering kali mengalami fluktuasi yang tidak menentu.
Manullang, Kristin
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