Results 111 to 120 of about 11,730 (214)

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
core  

Option Pricing under GARCH models with Generalized Hyperbolic distribution (II) : Data and Results [PDF]

In this paper, we provide a new dynamic asset pricing model for plain vanilla options and we discuss its ability to produce minimum mispricing errors on equity option books.
Christophe Chorro, Dominique Guegan, Florian Ielpo   +2 more
core  

PENERAPAN MODEL EGARCH PADA ESTIMASI VOLATILITAS HARGA MINYAK KELAPA SAWIT

E-Jurnal Matematika, 2015
Good news and bad news (commonly known as the asymmetric effect) on the price of palm oil, has been the grounds of palm oil price volatility. Estimation of volatility needs to be conducted for the purposes of advance financial analysis namely computation
YOSEVA AGUNG PRIHANDINI, KOMANG DHARMAWAN, KARTIKA SARI   +2 more
doaj  

Koşullu Değişen Varyans Modelleri ile Volatilite Yapısı Analizi: Katılım 30 ve Katılım 50 Endeksleri Üzerine Bir Uygulama

Mehmet Akif Ersoy Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi
Çalışmanın amacı, Borsa İstanbul’da (BIST) işlem gören Katılım 30 ve Katılım 50 endekslerinin volatilite yapılarını açıklayan en uygun modeli belirlemektir.
Turan Öndeş, Muhammet Levet
doaj   +1 more source

Symmetric and asymmetric GARCH estimations of the impact of oil price uncertainty on output growth: evidence from the G7. [PDF]

Lett Spat Resour Sci, 2023
Alao RO, Alhassan A, Alao S, Olanipekun IO, Olasehinde-Williams GO, Usman O.   +5 more
europepmc   +1 more source

Predicting the Volatility of Cryptocurrencies’ Returns Using High-Frequency Data: A Comparative Analysis of GARCH, EGARCH, IGARCH, GJR-GARCH, LRE, and HAR Models

International Journal of Financial Studies
This study provides a comprehensive evaluation of six volatility forecasting models applied to twelve dominant and less dominant cryptocurrencies across multiple time horizons using high-frequency intraday data. The exponential generalized autoregressive
Abdulrahman Alsamaani, Huda Aldhahi
doaj   +1 more source

Impacts of the COVID-19 epidemic on carbon emissions from international shipping. [PDF]

Mar Pollut Bull, 2023
Xu L, Yang Z, Chen J, Zou Z.
europepmc   +1 more source

The Information Content of Implied Volatility in the Hong Kong and Singapore Covered Warrants Markets [PDF]

This paper examines the informational content and predictive power of implied volatility over different forecasting horizons in a sample of European covered warrants traded in the Hong Kong and Singapore markets.
Cheny Chen, Hoa Nguyen, Ming-Hua Liu
core  

Will a boom be followed by crash? A new systemic risk measure based on right-tail risk. [PDF]

Front Psychol, 2022
Liu Q, Xu M, Xiong J.
europepmc   +1 more source

The effect of realised volatility on stock returns risk estimates [PDF]

In this paper, we estimate minimum capital risk requirements for short, long positions and three investment horizons, using the traditional GARCH model and two other GARCH-type models that incorporate the possibility of asymmetric responses of volatility
Aurea Grane, Helena Veiga
core