Results 221 to 230 of about 12,191 (249)
Evaluasi Model Exponential Generelized Autoregressive Conditional Heteroscedastic (EGARCH)
Bandung Conference Series: Statistics, 2022 Abstract. In time series data that has a fairly high volatility, it is possible to have an error variance that is not constant (Heteroscedasticity). This is reflected in the square of error that also follows the time series model, for example the autoregressive (AR) model and the expectation of the conditional error square is not constant, the AR model
null Novianti Dwi PujiAstuti +1 more
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Moments of the ARMA–EGARCH model [PDF]
The Econometrics Journal, 2003 Summary: This paper considers the moment structure of the general ARMA-EGARCH model. In particular, we derive the autocorrelation function of any positive integer power of the squared errors. In addition, we obtain the autocorrelations of the squares of the observed process and cross correlations between the levels and the squares of the observed ...
Menelaos Karanasos, J. Kim
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Communications in Statistics - Simulation and Computation, 2020
This article deals with some probabilistic and statistical properties of a periodic exponential GARCH(1,1) model, which is very adequate and appropriate to capture and describe, at the same time, t...
Mohamed Sadoun, Mohamed Bentarzi
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This article deals with some probabilistic and statistical properties of a periodic exponential GARCH(1,1) model, which is very adequate and appropriate to capture and describe, at the same time, t...
Mohamed Sadoun, Mohamed Bentarzi
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EGARCH Model with Weighted Liquidity
Communications in Statistics - Simulation and Computation, 2013We analyze a variant of the EGARCH model which captures the variation of the intra-day price. We study the asymptotic behavior of the estimators for the parameters of the model. We also illustrate our theoretical results by empirical studies.
Ciprian A. Tudor*, Cristiana Tudor
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On the multivariate EGARCH model
Applied Economics Letters, 2009In 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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Testing for EGARCH Against Stochastic Volatility Models
Journal of Time Series Analysis, 2005Abstract. It is shown that the EGARCH model is the degenerate case of Danielsson's [Journal of Econometrics(1994) Vol. 61, pp. 375–400] stochastic volatility model where the disturbance of the transition equation of conditional volatility has zero variance.
Kobayashi, Masahito, Shi, Xiuhong
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Extremal behavior of finite EGARCH Processes
2003Extreme 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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Full Bayesian Inference for GARCH and EGARCH Models
Journal of Business & Economic Statistics, 2000A full Bayesian analysis of GARCH and EGARCH models is proposed consisting of parameter estimation, model selection, and volatility prediction. The Bayesian paradigm is implemented via Markov-chain Monte Carlo methodologies. We provide implementation details and illustrations using the General Index of the Athens stock exchange.
Vrontos, Ioannis D. +5 more
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Volatility Forecasting With Range-Based EGARCH Models
Journal of Business & Economic Statistics, 2006We provide a simple, yet highly effective framework for forecasting return volatility by combining exponential generalized autoregressive conditional heteroscedasticity models with data on the range. Using Standard and Poor's 500 index data for 1983–2004, we demonstrate the importance of a long-memory specification, based on either a two-factor ...
Brandt, Michael W. +1 more
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Financial Contagion in South Asia: An EGARCH Approach
SSRN Electronic Journal, 2013This study examines financial contagion in stock markets of India, Sri Lanka and Pakistan during various financial crises. These markets represent a significant part of South Asian economies; therefore, the results obtained can be generalized to the region. The paper employs an Exponential GARCH model in an event study approach.
Syed Kashif Saeed +2 more
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