Results 181 to 190 of about 4,202 (205)

Time-varying asymmetric volatility spillover between global markets and China’s A, B and H-shares using EGARCH and DCC-EGARCH models

The North American Journal of Economics and Finance, 2020
Abstract This paper investigates the volatility spillover and dynamic conditional correlation between three types of China’s shares including A, B and H-shares with 12 major emerging and developed markets from 2002 to 2017 using EGARCH and multivariate DCC-EGARCH models. Both models found that Chinese equities are more related with their neighbouring
A. Do, R. Powell, J. Yong, A. Singh
openaire   +1 more source

Analyzing cryptocurrency volatility: an EGARCH model

PANORAMA ECONÓMICO
The aim of this article is to examine the reasons why cryptocurrency volatility hinders its potential to replace fiat money as legal tender. We focus on Bitcoin and Ethereum for this analysis. By applying an augmented Dickey-Fuller stationarity test, we demonstrate that cryptocurrencies lack a long-term trend; instead, their movement is erratic and ...
Guillermo Arroyo Jiménez, Julia Juárez García   +1 more
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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.
openaire   +5 more sources

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.
openaire   +1 more source

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
openaire   +2 more sources

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  

Study on Air Pollution Behavior of VOCs with Photochemical Monitoring Stations Using EGARCH Model in Southern Taiwan

Atmosphere, 2021
Shu-Lung Kuo
exaly  

Forecasting Volatilities and Correlations with EGARCH Models

The Journal of Derivatives, 1993
Robert Cumby, Stephen Figlewski, Joel Hasbrouck   +2 more
openaire   +1 more source

Assessing nickel sector index volatility based on quantile regression for Garch and Egarch models: Evidence from the Chinese stock market 2018–2022

Resources Policy, 2023
Yalin Lei, Linna Lu
exaly