Results 101 to 110 of about 5,743 (206)

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

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

Pemodelan efek asimetris dalam volatilitas dengan EGARCH [PDF]

, 2007
Volatilitas dapat diartikan sebagai nilai variansi dari perubahan data, sering dinyatakan dengan simpangan baku bersyarat (conditional standard deviation) dari suatu deret waktu. Model EGARCH adalah salah satu model volatilitas yang mempertimbangkan efek
IkaWirawati
core  

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  

Using EGARCH models to predict volatility in unconsolidated financial markets: the case of European carbon allowances. [PDF]

J Environ Stud Sci, 2023
Villar-Rubio E, Huete-Morales MD, Galán-Valdivieso F.   +2 more
europepmc   +1 more source

Forecasting of Onion Price through GARCH and EGARCH Time Series Models in Nasik District of Maharashtra

International Journal of Bio-Resource and Stress Management
The 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
doaj   +1 more source

Analisis volatilitas saham perusahaan dengan metode EGARCH [PDF]

, 2015
Bentuk investasi yang umum adalah saham. Di dalam kegiatan berinvestasi, selalu ada dua hal penting yaitu risiko atau tingkat pengembalian (return).
Natasha, Azaria
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An attention-guided hybrid statistical and deep learning modeling for enhanced time series forecasting: A case study of South African telecommunication companies

Scientific African
Accurate 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, Marcellin Atemkeng, Jean-Claude Ndogmo   +2 more
doaj   +1 more source

A risk measurement study evaluating the impact of COVID-19 on China's financial market using the QR-SGED-EGARCH model. [PDF]

Ann Oper Res, 2023
Song M, Sui Z, Zhao X.
europepmc   +1 more source

Moments of the ARMA-EGARCH Model [PDF]

This paper considers the moment structure of the ARMA(r,s)-EGARCH(p,q) model. In particular, we provide the autocorrelation function and any arbitrary moment of the conditional variance/squared errors.
Menelaos Karanasos, J. Kim
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