Results 91 to 100 of about 5,743 (206)

Multivariate range-based EGARCH models

International Review of Financial Analysis, 2022
Lili Yan, Neil Kellard, Lyudmyla Lambercy   +2 more
openaire   +1 more source

Option pricing using EGARCH models [PDF]

, 2010
Various empirical studies have shown that the time-varying volatility of asset returns can be described by GARCH (generalised autoregressive conditional heteroskedasticity) models. The corresponding GARCH option pricing model of Duan (1995) is capable of
Schmitt, Christian
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Perbandingan Model Asimetris Volatilitas Return Indeks Saham Dengan EGARCH Dan EGARCH-ECM Pada Pasar Saham Syariah Dan Konvensional [PDF]

, 2015
Saham adalah surat berharga yang merupakan tanda kepemilikan terhadap suatu perusahaan sedangkan indek saham adalah indikator pergerakan harga saham.
Vulandari, Retno Tri
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Perbandingan Model Garch Dan Egarch Harga Cabai Rawit Kota Surabaya [PDF]

, 2021
Melonjaknya harga cabai merupakan salah satu pemicu tingginya inflasi Kota Surabaya. Hal ini menjadi titik acuan dalam penelitian ini dalam mencegah inflasi tinggi perlu dilakukan pemilihan model yang tepat dan analisis prediksi.
Siti Amelia Dewi Safitri, -
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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

Whittle estimation of EGARCH and other exponential volatility models [PDF]

Journal of Econometrics, 2009
The strong consistency and asymptotic normality of the Whittle estimate of the parameters in a class of exponential volatility processes are established. Our main focus here are the EGARCH model of [Nelson, D. 1991. Conditional heteroscedasticity in asset pricing: a new approach.
openaire   +4 more sources

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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MODEL MARKOV SWITCHING EGARCH PADA NILAI TUKAR EURO TERHADAP RUPIAH [PDF]

, 2013
Rupiah exchange rate against the euro has three characteristics, namely heteroskedasticity, leverage effects and conditions contained structural changes.
MONALISA, NANDA PUTRI
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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

The Day-of-the-Week Effect on Stock-Market Volatility and Return: Evidence from Emerging Markets (in English) [PDF]

This study investigates day-of-the-week (DOW) anomalies in the stock markets of twenty emerging economies. The authors use a modified exponential generalized autoregressive conditional heteroskedasticity in-mean (EGARCH-M) modeling strategy that allows ...
Yeliz Yalcin, Eray M. Yycel
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