Results 181 to 190 of about 5,743 (206)

The Effects of COVID-19 on Chinese Stock Markets: An EGARCH Approach

SSRN Electronic Journal, 2020
Coronavirus disease 2019 (COVID-19), the disease caused by the novel coronavirus SARS-CoV-2, has greatly affected financial markets, economies and societies worldwide.
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Estimating EGARCH-M models: Science or art?

The Quarterly Review of Economics and Finance, 1998
Abstract This paper shows that the EGARCH-M model should be estimated with caution. Regardless of the assumption made regarding the conditional error distribution, the EGARCH-M model is sensitive to the choice of starting values and the degree of computer precision.
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The Comparison between IABC with EGARCH in Foreign Exchange Rate Forecasting

2014
Foreign exchange rate forecasting catches many researchers interests in recent years. Problems of the foreign exchange rate forecasting model selection and the improvement on forecasting accuracy are not easy to be solved. In this paper, the forecasting results obtained by conventional time-series models and by the Inter-active Artificial Bee Colony ...
Jui-Fang Chang, Pei-Wei Tsai, Jung-Fang Chen, Chun-Tsung Hsiao   +3 more
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Option pricing using EGARCH models [PDF]

, 1996
Various empirical studies have shown that the time-varying volatility of asset returns can be described by GARCH (generalised autoregressive conditional heteroskedasticity) models. The corresponding GARCH option pricing model of Duan (1995) is capable of depicting the smile-effect which often can be found in option prices.
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The effects of COVID-19 on Chinese stock markets: an EGARCH approach

Economic and Political Studies, 2021
Kerry Liu
exaly  

Volatility Behaviour of the Foreign Exchange Rate and Transmission Among Central and Eastern European Countries: Evidence from the EGARCH Model

Global Business Review, 2021
Ngo Thai Hung
exaly  

EGARCH Option Pricing with Assymetries in the Mean Equation [PDF]

, 1998
Black's option pricing model systematically misprices actual option premiums. The biases of Black's model may result from assuming non-stochastic volatility and normality. A generalized autoregressive conditional heteracedastic(GARCH) option pricing model relaxes the assumptions of Black's model This paper uses an asymmetric ARCH-type models.
openaire  

Forecasting the Volatility of European Union Allowance Futures with Climate Policy Uncertainty Using the EGARCH-MIDAS Model

Sustainability, 2022
Xinyu Wu
exaly  

Forecasting Volatilities and Correlations with EGARCH Models

The Journal of Derivatives, 1993
Robert Cumby, Stephen Figlewski, Joel Hasbrouck   +2 more
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Study on Air Pollution Behavior of VOCs with Photochemical Monitoring Stations Using EGARCH Model in Southern Taiwan

Atmosphere, 2021
Shu-Lung Kuo
exaly