Results 151 to 160 of about 12,191 (249)

Impact of COVID-19 on Stock Indices Volatility: Long-Memory Persistence, Structural Breaks, or Both? [PDF]

Ann Data Sci, 2022
de Oliveira AMB, Mandal A, Power GJ.
europepmc   +1 more source

The Volatility of Thai Rice Price [PDF]

This study was conducted to explore the varying volatility of world rice price for the period 1961 to 2008 using monthly data. The paper provides estimates of two GARCH models, namely, GARCH and EGARCH which were used to capture the stochastic variation ...
Baharom, A.H., Habibullah, M.S., Hirnissa, M.T, Radam, Alias   +3 more
core   +1 more source

PEMODELAN AUTOREGRESSIVE FRACTIONALLY INTEGRATED MOVING AVERAGE DENGAN EFEK EXPONENTIAL GARCH (ARFIMA-EGARCH) UNTUK PREDIKSI HARGA BERAS DI KOTA SEMARANG

, 2021
Rezky Dwi Hanifa, Mustafid Mustafid, Arief Rachman Hakim   +2 more
openalex   +2 more sources

The impact and profitability of day trading following the relaxation of day trading restrictions in Taiwan. [PDF]

Heliyon, 2023
Cheng WH, Chen Y, Huang P, Ni Y, Liang MC.   +4 more
europepmc   +1 more source

Bias Correction of ML and QML Estimators in the EGARCH(1,1) Model [PDF]

n this paper we derive the bias approximations of the Maximum Likelihood (ML) and Quasi-Maximum Likelihood (QML) Estimators of the EGARCH(1,1) parameters and we check our theoretical results through simulations.
Antonis Demos, Dimitra Kyriakopoulou
core  

Cross-market volatility spillovers between China and the United States: A DCC-EGARCH-t-Copula framework with out-of-sample forecasting. [PDF]

PLoS One
Zeng J, Wu J.
europepmc   +1 more source

The effect of COVID-19 pandemic on return-volume and return-volatility relationships in cryptocurrency markets. [PDF]

Chaos Solitons Fractals, 2022
Foroutan P, Lahmiri S.
europepmc   +1 more source

EGARCHモデルについて

EGARCHモデルについて
This paper considers the EGARCH(exponential GARCH)model, which is one of the conditional heteroscedastic models. The EGARCH model allows for asymmetric effects between positive and negative asset returns. First, with the daily return data of TOPIX used, the paper estimates parameters of EGARCH models and comparing them with other GARCH models by AIC ...
openaire  

Study on the prediction performance of AIDS monthly incidence in Xinjiang based on time series and deep learning models. [PDF]

BMC Public Health
Tang D, Jin Y, Hu X, Lin D, Kapar A, Wang Y, Yang F, Li H.   +7 more
europepmc   +1 more source

Twitter Sentiment Analysis and Influence on Stock Performance Using Transfer Entropy and EGARCH Methods. [PDF]

Entropy (Basel), 2022
Mendoza-Urdiales RA, Núñez-Mora JA, Santillán-Salgado RJ, Valencia-Herrera H.   +3 more
europepmc   +1 more source