Results 11 to 20 of about 4,202 (205)
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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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
openaire +3 more sources
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, D, McAleer, Michael
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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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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
core +6 more sources
World Gold Price Forecast using APARCH, EGARCH and TGARCH Model
InPrime, 2020 Investment is a process of investing money for profit or material result. One investment commodity is gold. Gold is a precious metal in which the value tends to fluctuate over time.
Yanne Irene +2 more
doaj +3 more sources
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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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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MEMBANDINGKAN RISIKO SISTEMATIS MENGGUNAKAN CAPM-GARCH DAN CAPM-EGARCH
E-Jurnal Matematika, 2017 In making stock investments, investors usually pay attention to the rate of return and risk of the stock investment. To calculate risk using capital asset pricing model (CAPM), GARCH, and EGARCH.
VIKY AMELIAH +2 more
doaj +3 more sources
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
doaj +4 more sources