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Model construction and empirical study of ARMA-EGARCH
2009 IEEE International Conference on Grey Systems and Intelligent Services (GSIS 2009), 2009This paper establishes an ARMA-EGARCH-M model by combining ARMA model with ARCH group models to study securities market volatility appraisal. The results based on examination of measuring indices for forecasting error using mass samples indicate that ARMA-EGARCH-M model surpasses ARCH group models on Shanghai securities market volatility fitting.
Bo Zhang, Zhong-min Yin
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Estimating EGARCH-M models: Science or art?
The Quarterly Review of Economics and Finance, 1998Abstract 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.
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Modeling interest rate volatility: an extended EGARCH approach
Managerial Finance, 2012Purpose – This paper aims to propose a general, yet simple model to estimate interest rate volatility.Design/methodology/approach – The methodology is based on an extended Exponential Generalized ARCH (EGARCH) model that incorporates both interest rate levels as well as past information shocks in the volatility function.
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Forecasting Volatility: A Google Trends Augmented EGARCH Model
SSRN Electronic Journal, 2018Accurately forecasting volatility is key in many financial applications. In this study, I suggest that individuals gather information online before implementing their trading decisions. In periods of higher investor concern, online information seeking intensifies.
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Revisiting natural resources volatility via TGARCH and EGARCH
Resources Policy, 2022Yunpeng Luan +4 more
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Forecasting VIX using two-component realized EGARCH model
The North American Journal of Economics and Finance, 2023Xinyu Wu, An Zhao, Li Liu
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Analyzing CBRT's FOREX interventions using EGARCH (2001-2006) [PDF]
, 2007 The post-2001 period in the Turkish economy witnessed many stabilization efforts and regulations applied by policy makers so as to eliminate the effects of the economic crisis on the economy. Dealing with the monetary policy, these policies were conducted in favor of just-in-time interventions when the volatilities in some main monetary aggregates were
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