Results 11 to 20 of about 11,730 (214)
Moments of the ARMA-EGARCH Model [PDF]
The Econometrics Journal, 2003 This paper considers the moment structure of the ARMA(r,s)-EGARCH(p,q) model. In particular, we provide the autocorrelation function and any arbitrary moment of the conditional variance/squared errors.
J. Kim, Menelaos Karanasos
core +4 more sources
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
doaj +12 more sources
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
Schmitt, Christian
core +3 more sources
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
openaire +3 more sources
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
openaire +8 more sources
Markov-Switching GARCH Modelling of Value-at-RisK [PDF]
, 2008 This paper proposes an asymmetric Markov regime-switching (MS) GARCH model to estimate value-at-risk (VaR) for both long and short positions. This model improves on existing VaR methods by taking into account both regime change and skewness or leverage ...
Coakley, J, Nankervis, JC, Sajjad, R
core +1 more source
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
openaire +3 more sources
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 +1 more source
Continuous invertibility and stable QML estimation of the EGARCH(1,1) model [PDF]
, 2012 We introduce the notion of continuous invertibility on a compact set for volatility models driven by a Stochastic Recurrence Equation (SRE). We prove the strong consistency of the Quasi Maximum Likelihood Estimator (QMLE) when the optimization procedure ...
Wintenberger, Olivier
core +5 more sources
GARCH models with leverage effect : differences and similarities [PDF]
, 2009 In this paper, we compare the statistical properties of some of the most popular GARCH models with leverage e?ect when their parameters satisfy the positivity, stationarity and nite fourth order moment restrictions.
Rodríguez, Mª José, Ruiz, Esther
core +7 more sources