Results 241 to 249 of about 12,191 (249)
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 depicting the smile-effect which often can be found in option prices.
openaire +1 more source
Some of the next articles are maybe not open access.
Related searches:
Related searches:
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.
openaire +1 more source
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.
openaire +1 more source
Revisiting natural resources volatility via TGARCH and EGARCH
Resources Policy, 2022Yunpeng Luan +4 more
openaire +1 more source
Forecasting VIX using two-component realized EGARCH model
The North American Journal of Economics and Finance, 2023Xinyu Wu, An Zhao, Li Liu
openaire +1 more source
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
openaire
Forecasting Volatilities and Correlations with EGARCH Models
The Journal of Derivatives, 1993Robert Cumby +2 more
openaire +1 more source
Pemodelan Volatilitas Harian Menggunakan Pendekatan Realized EGARCH-CJ
This study compares the performance of Realized Exponential GARCH (REGARCH) and REGARCH with Continuous and Jump components (REGARCH-CJ) models in modeling the volatility of financial assets based on daily data from Tokyo Stock Prince Index (TOPIX) over the period January 2004 to December 2011.openaire +1 more source