Results 131 to 140 of about 11,262 (157)

EGARCH Model with Weighted Liquidity

Communications in Statistics - Simulation and Computation, 2013
We analyze a variant of the EGARCH model which captures the variation of the intra-day price. We study the asymptotic behavior of the estimators for the parameters of the model. We also illustrate our theoretical results by empirical studies.
Ciprian A. Tudor*, Cristiana Tudor
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On the multivariate EGARCH model

Applied Economics Letters, 2009
In this aticle, the extension of Nelson's (1991) univariate EGARCH model to the multivariate version has been reexamined and compared with the existing one given by Koutmos and Booth (1995). The magnitude and sign of standardized innovations have been constrained in Koutmos and Booth's multivariate EGARCH model, but not in the actual multivariate ...
Ten-Der Jane, Cherng G. Ding
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Testing for EGARCH Against Stochastic Volatility Models

Journal of Time Series Analysis, 2005
Abstract. It is shown that the EGARCH model is the degenerate case of Danielsson's [Journal of Econometrics(1994) Vol. 61, pp. 375–400] stochastic volatility model where the disturbance of the transition equation of conditional volatility has zero variance.
Kobayashi, Masahito, Shi, Xiuhong
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Evaluasi Model Exponential Generelized Autoregressive Conditional Heteroscedastic (EGARCH)

Bandung Conference Series: Statistics, 2022
Abstract. In time series data that has a fairly high volatility, it is possible to have an error variance that is not constant (Heteroscedasticity). This is reflected in the square of error that also follows the time series model, for example the autoregressive (AR) model and the expectation of the conditional error square is not constant, the AR model
null Novianti Dwi PujiAstuti, null Suwanda   +1 more
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Extremal behavior of finite EGARCH Processes

2003
Extreme value theory for a class of EGARCH processes is developed. It is shown that the EGARCH process as well as the logarithm of its conditional variance lie in the domain of attraction of the Gumbel distribution. Norming constants are obtained and it is shown that the considered processes exhibit the same extremal behavior as their associated iid ...
Lindner, Alexander M., Meyer, Katharina M. M.   +1 more
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Full Bayesian Inference for GARCH and EGARCH Models

Journal of Business & Economic Statistics, 2000
A full Bayesian analysis of GARCH and EGARCH models is proposed consisting of parameter estimation, model selection, and volatility prediction. The Bayesian paradigm is implemented via Markov-chain Monte Carlo methodologies. We provide implementation details and illustrations using the General Index of the Athens stock exchange.
Vrontos, Ioannis D., Dellaportas, Petros, Politis, Dimitris Nicolas, Vrontos, Ioannis D., Dellaportas, Petros, Politis, Dimitris Nicolas   +5 more
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Volatility Forecasting With Range-Based EGARCH Models

Journal of Business & Economic Statistics, 2006
We provide a simple, yet highly effective framework for forecasting return volatility by combining exponential generalized autoregressive conditional heteroscedasticity models with data on the range. Using Standard and Poor's 500 index data for 1983–2004, we demonstrate the importance of a long-memory specification, based on either a two-factor ...
Brandt, Michael W., Jones, Christopher S.   +1 more
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Financial Contagion in South Asia: An EGARCH Approach

SSRN Electronic Journal, 2013
This study examines financial contagion in stock markets of India, Sri Lanka and Pakistan during various financial crises. These markets represent a significant part of South Asian economies; therefore, the results obtained can be generalized to the region. The paper employs an Exponential GARCH model in an event study approach.
Syed Kashif Saeed, Khalid Riaz, Usman Ayub   +2 more
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A realized EGARCH-MIDAS model with higher moments

Finance Research Letters, 2021
Abstract This paper proposes a realized EGARCH-MIDAS model with higher moments (REGARCH-MIDAS-SK) which combines the REGARCH-MIDAS model by Borup and Jakobsen (2019) and the REGARCH-SK model by Wu et al. (2019) to model volatility. A key feature of the proposed model is the ability to account for the high persistence of volatility and the time ...
Xinyu Wu, Haibin Xie
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Testing for jumps in the EGARCH process

Mathematics and Computers in Simulation, 2009
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Shi, Xiuhong, Kobayashi, Masahito
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