Results 11 to 20 of about 12,191 (249)
Two EGARCH Models and One Fat Tail [PDF]
SSRN Electronic Journal, 2014 We compare two EGARCH models which belong to a new class of models in which the dynamics are driven by the score of the conditional distribution of the observations. Models of this kind are called dynamic conditional score (DCS) models and their form facilitates the development of a comprehensive and relatively straightforward theory for the asymptotic
Michele Caivano, Andrew Harvey
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Fuzzy Gaussian GARCH and Fuzzy Gaussian EGARCH Models: Foreign Exchange Market Forecast
Revista Mexicana de Economía y Finanzas Nueva Época REMEF, 2023 This article discusses a comparison of the GARCH and EGARCH conditional variance methods, with respect to the Fuzzy Gaussian GARCH and Fuzzy Gaussian EGARCH.
José Eduardo Medina Reyes +2 more
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Improving Value-at-Risk Estimation from the Normal EGARCH Model
Contemporary Economics, 2017 Returns in financial assets display consistent excess kurtosis and skewness, implying the presence of large fluctuations not forecasted by Gaussian models. This paper applies a resampling method based on the bootstrap and a bias-correction step to improve Value-at-Risk (VaR) forecasting ability of the n-EGARCH (normal EGARCH) model and correct the VaR ...
Gorji, Mahsa, Sajjad, Rasoul
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Foreign portfolio investment, returns, exchange rate and inflation for Zimbabwe: A Granger Causality and EGARCH approach [PDF]
AccountingThis paper analyses the causal relationship between Foreign Portfolio Investment (FPI), Equities Market Volatility, Exchange Rate and Inflation in Zimbabwe using a monthly time series data between October 2018 and November 2021.
Talent Kondo +3 more
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Dependence Modelling using GARCH, EGARCH, and Copula Models:
Asia Proceedings of Social Sciences, 2018 Copula become a popular tool to measure the dependency between financial data due to its ability to capture the non-normal distributions. Hence, this paper will inspect the impact of input models towards the parameter estimation of marginal and copula models for KLCI and FBMHS returns series by considering the ARMA-GARCH model and the ARMA-EGARCH model.
Nurul Hanis Aminuddin Jafry +2 more
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PENERAPAN MODEL EGARCH PADA ESTIMASI VOLATILITAS HARGA MINYAK KELAPA SAWIT
E-Jurnal Matematika, 2015 Good news and bad news (commonly known as the asymmetric effect) on the price of palm oil, has been the grounds of palm oil price volatility. Estimation of volatility needs to be conducted for the purposes of advance financial analysis namely computation
YOSEVA AGUNG PRIHANDINI +2 more
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Speculation and returns' volatility: Evidence from Pakistan Mercantile Exchange
Business Review, 2021 The debate about the role of speculators in commodity markets has been intensified after the financialization. The current study augments the empirical evidence related to speculators and their impact on volatility of commodity markets.
Falik Shear
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On the invertibility of EGARCH(p,q) [PDF]
Econometric Reviews, 2016 Of the two most widely estimated univariate asymmetric conditional volatility models, the exponential GARCH (or EGARCH) specification can capture asymmetry, which refers to the different effects on conditional volatility of positive and negative effects of equal magnitude, and leverage, which refers to the negative correlation between the returns ...
Guillaume Gaetan Martinet +1 more
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A new approach to bad news effects on volatility: the multiple-sign-volume sensitive regime EGARCH model (MSV-EGARCH) [PDF]
Portuguese Economic Journal, 2009 In this paper, using daily data for six major international stock market indexes and a modified EGARCH specification, the links between stock market returns, volatility and trading volume are investigated in a new nonlinear conditional variance framework with multiple regimes and volume effects. Volatility forecast comparisons, using the Harvey-Newbold
Curto, José Dias +2 more
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Egarch Model Prediction for Sale Stock Price
Jurnal Varian, 2022 Stock is an investment in the capital market that is very promising for investors. Investors can also get high returns from the shares invested. However, this stock price is not always stable, it can go up and down drastically. The purpose of this study is to predict stock prices because they often experience instability.
Arya Impun Diapari Lubis, Ismail Husein
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