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Flexible Target Prediction for Quantitative Trading in the American Stock Market: A Hybrid Framework Integrating Ensemble Models, Fusion Models and Transfer Learning. [PDF]
Entropy (Basel)Yan K +6 more
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Communications in Statistics - Simulation and Computation, 2020
This article deals with some probabilistic and statistical properties of a periodic exponential GARCH(1,1) model, which is very adequate and appropriate to capture and describe, at the same time, t...
Mohamed Sadoun, Mohamed Bentarzi
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This article deals with some probabilistic and statistical properties of a periodic exponential GARCH(1,1) model, which is very adequate and appropriate to capture and describe, at the same time, t...
Mohamed Sadoun, Mohamed Bentarzi
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EGARCH Model with Weighted Liquidity
Communications in Statistics - Simulation and Computation, 2013We 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, 2009In 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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A realized EGARCH-MIDAS model with higher moments
Finance Research Letters, 2021Abstract 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 ...
Haibin Xie, Xinyu Wu
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Testing for EGARCH Against Stochastic Volatility Models
Journal of Time Series Analysis, 2005Abstract. 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, 2022Abstract. 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 +1 more
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Extremal behavior of finite EGARCH Processes
2003Extreme 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. +1 more
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