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The effect of Sectoral output Volatility on Economic growth in Ethiopia
Journal of Economics, Business & Accountancy Ventura, 2021 This study examined the effect of sectoral output volatility on economic growth and the determinants of economic growth in the Ethiopian economy. The study used annual time series data spanning from 1981 to 2018 and included capital stock, working-age ...
Adisu Abebaw Degu
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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
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AN ALMOST CLOSED FORM ESTIMATOR FOR THE EGARCH MODEL [PDF]
Econometric Theory, 2012 The exponential GARCH (EGARCH) model introduced by Nelson (1991) is a popular model for discrete time volatility since it allows for asymmetric effects and naturally ensures positivity even when including exogenous variables. Estimation and inference are usually done via maximum likelihood.
HAFNER, Christian, LINTON, Oliver
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EGARCH models with fat tails, skewness and leverage [PDF]
Computational Statistics & Data Analysis, 2014 two components.
Andrew Harvey, Genaro Sucarrat
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Studies in Business and Economics, 2022 This study analyzes the effect of housing prices on banking performance in Korea. The findings of the study reveal that the impact of housing price changes on banking performance was different in the commercial banks, regional banks and specialized banks.
Heonyong Jung
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An exponential continuous time GARCH process [PDF]
, 2006 In this paper we introduce an exponential continuous time GARCH(p,q) process. It is defined in such a way that it is a continuous time extension of the discrete time EGARCH(p,q) process. We investigate stationarity and moment properties of the new model.
Haug, Stephan +3 more
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Comparative Economic Research, 2023 Volatility spillover informs whether the information in one market impacts the information in another. This paper examines whether oil market volatility spills over to the equity markets of selected SAARC countries. The study uses data from February 2013
Tariq Aziz
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Oil Price Volatility and Business Cycles in Nigeria
Studies in Business and Economics, 2018 The effect of oil price volatility on the business cycle (measured as fluctuations in real GDP) in Nigeria is investigated, while controlling for effects of other variables such as inflation, exchange rate, money supply, trade openness and foreign direct
Aigheyisi Oziengbe Scott
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Foreign portfolio investment, returns, exchange rate and inflation for Zimbabwe: A Granger Causality and EGARCH approach [PDF]
AccountingThis paper analyses the causal relationship between Foreign Portfolio Investment (FPI), Equities Market Volatility, Exchange Rate and Inflation in Zimbabwe using a monthly time series data between October 2018 and November 2021.
Talent Kondo +3 more
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Modeling Long Memory and Regime Switching with an MRS-FIEGARCH Model: A Simulation Study
Axioms, 2023 Recent research suggests that long memory can be caused by regime switching and is easily confused with it. However, if the causes of confusion were properly controlled, they could be distinguished.
Caixia Zhang, Yanlin Shi
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