Results 21 to 30 of about 11,730 (214)
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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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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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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Volatility Spillover Between the Stock Market and the Foreign Exchange Market in Pakistan [PDF]
, 2006 Our paper examines the volatility spillover between the stock market and the foreign exchange market in Pakistan. For long run relationship we use Engle Granger two step procedure and the volatility spillover is modelled through bivariate EGARCH method ...
Kemal, A. R., Qayyum, Abdul
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Model Calibration and Validation for the Fuzzy-EGARCH-ANN Model
Applied Computational Intelligence and Soft Computing, 2021 This work shown as the fuzzy-EGARCH-ANN (fuzzy-exponential generalized autoregressive conditional heteroscedastic-artificial neural network) model does not require continuous model calibration if the corresponding DE algorithm is used appropriately, but ...
Geleta T. Mohammed +2 more
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Pemodelan EGARCH Return Saham, Emas, dan Cryptocurrency
Seminar Nasional Official Statistics, 2023 Investasi finansial adalah investasi yang dilakukan oleh pelaku ekonomi pada pasar keuangan melalui berbagai macam instrumen finansial seperti saham, emas dan cryptocurrency. Penelitian ini memiliki tujuan yaitu memodelkan volatilitas return saham, emas dan cryptocurrency pada puncak pandemi Covid-19.
Nasrudin Nasrudin, Farah Amira Firdausia
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Modeling the volatility of Banks index returns for the Saudi stock exchange using EGARCH model [PDF]
مجلة الاجتهاد للدراسات القانونية والاقتصادية, 2021 This study aims to model and measures the volatility of the returns of the banking sector in the Saudi stock exchange. The study used the exponential generalized autoregressive conditional heteroskedastic (EGARCH) model. The banking sector index (TBNI),
MANSOURI hadj moussa, GUENNOUN Abdelhak
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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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