Results 11 to 20 of about 5,743 (206)
A One Line Derivation of EGARCH [PDF]
Econometrics, 2014 One of the most popular univariate asymmetric conditional volatility models is the exponential GARCH (or EGARCH) specification. In addition to asymmetry, which captures the different effects on conditional volatility of positive and negative effects of ...
Michael McAleer, Christian M. Hafner
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Model Calibration and Validation for the Fuzzy-EGARCH-ANN Model
Applied Computational Intelligence and Soft Computing, 2021 This work shown as the fuzzy-EGARCH-ANN (fuzzy-exponential generalized autoregressive conditional heteroscedastic-artificial neural network) model does not require continuous model calibration if the corresponding DE algorithm is used appropriately, but ...
Geleta T. Mohammed +2 more
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On the Invertibility of EGARCH [PDF]
, 2014 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 ...
Martinet, G.G., McAleer, M.
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On the multivariate EGARCH model
Applied Economics Letters, 2009 In 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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Egarch Model Prediction for Sale Stock Price [PDF]
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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Extremal behavior of finite EGARCH Processes [PDF]
, 2003 Extreme 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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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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Modelos ARCH, GARCH y EGARCH: aplicaciones a series financieras [PDF]
Cuadernos de Economía, 2008 En este artículo se incluye una descripción de los modelos<br />ARCH, GARCH y EGARCH, y de los procesos de estimación de sus<br />parámetros usando máxima verosimilitud. Se propone un modelo<br />alternativo para el análisis de series financieras y se estudian<br />las series de precios y de retornos de las acciones de<br ...
Casas Monsegny, Marta +1 more
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Improving Value-at-Risk Estimation from the Normal EGARCH Model [PDF]
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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The Correct Regularity Condition and Interpretation of Asymmetry in EGARCH [PDF]
SSRN Electronic Journal, 2017 In the class of univariate conditional volatility models, the three most popular are the generalized autoregressive conditional heteroskedasticity (GARCH) model of Engle (1982) and Bollerslev (1986), the GJR (or threshold GARCH) model of Glosten, Jagannathan and Runkle (1992), and the exponential GARCH (or EGARCH) model of Nelson (1990, 1991).
Chang, Chia-Lin, McAleer, Michael
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