Results 91 to 100 of about 11,262 (157)
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 +2 more
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Asymmetry and Leverage in Conditional Volatility Models
Econometrics, 2014 The three most popular univariate conditional volatility models are the generalized autoregressive conditional heteroskedasticity (GARCH) model of Engle (1982) and Bollerslev (1986), the GJR (or threshold GARCH) model of Glosten, Jagannathan and Runkle ...
Michael McAleer
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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 +1 more
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VOLATILITY AND SPILL OVER EFFECTS IN INDIAN COMMODITY MARKETS: A CASE OF PEPPER [PDF]
Modeling of volatility has been felt one of the major academic contributions in Indian commodity futures market. We have selected black pepper as a commodity for estimating volatility and its spillover incorporating a series of models.
Dey Kushankur, Maitra Debasish
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International Journal of Bio-Resource and Stress ManagementThe experiment was conducted from March, 2023 to March, 2024 at Dr. RPCAU, Pusa, Bihar, India to study the performance of GARCH and EGARCH models for forecasting onion prices.
Devkar Divya Raju, Mahesh Kumar
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European sovereign debt crisis and linkage of long-term government bond yields [PDF]
Based on the robust cross-correlation function approach developed by Hong (2001),　this paper investigates the causality-in-mean and the causality-in-variance of long-term bond yields in seven countries including “PIIGS†(Portugal, Ireland, Italy ...
Go Tamakoshi
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Scientific AfricanAccurate stock volatility forecasting is critical for informed investment decisions and effective risk management. This study proposes an attention-guided hybrid modeling framework that integrates Generalized Autoregressive Conditional Heteroskedasticity
Wandile Nhlapho +2 more
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Empirical Analysis of Carbon Price Based on EGARCH
Journal of Physics: Conference Series, 2019 Abstract The carbon trading market has been increasingly heated for more than a decade, and its market participants and market rules are not exactly the same as traditional stock or exchange rate markets. Based on the mature and efficient GARCH series model, this thesis analyzes the rules of the carbon trading market.
openaire +1 more source
The Effect of Congressional Sessions on the Stock Market in Emerging Democracy: the Case of Taiwan [PDF]
Political uncertainty, Congressional effect, Volatility asymmetry, EGARCH ...
Lin, Chin-Tsai, Wang, Yi-Hsien
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Likelihood-Related Estimation Methods and Non-Gaussian GARCH Processes [PDF]
This article discusses the finite distance properties of three likelihood-based estimation strategies for GARCH processes with non-Gaussian conditional distributions : (1) the maximum likelihood approach ; (2) the Quasi maximum Likelihood approach ; (3 ...
Christophe Chorro +2 more
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