PEMODELAN FLUKTUASI HARGA SAHAM BERPOLA EGARCH [PDF]
, 2006 Muslikan, 2006 MODELING ON RETURN VOLATILITY BY EGARCH MODEL. Faculty of Mathematics and Natural Sciences, Sebelas Maret University, Surakarta.
MUSLIKAN,
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EkonometriaAim: The main object of this study was to present a comparison between GARCH models, i.e. the standard GARCH model, asymmetric GJR-GARCH, and logarithmic EGARCH on exchange rate (IDR/USD) volatility.
Juwita Suwondo +3 more
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Volatility Modeling of Currency Returns: A Bayesian Multivariate GARCH‐EVT Framework
Journal of Probability and Statistics, Volume 2026, Issue 1, 2026.Exchange rate volatility is widely recognized as a major driver of financial instability in emerging markets, driven by its complex dynamics, time‐varying dependence structures, and the frequent occurrence of extreme events. However, existing models often treat these interrelated features in isolation, limiting their ability to adequately capture their
Jean De Dieu Ntawihebasenga +4 more
wiley +1 more source
Asymmetric International Transmission in the Conditional Mean and Volatility to the Japanese Market from the U.S.:EGARCH vs. SV Models [PDF]
This paper investigates whether the upturns and downturns of the U.S. market exert asymmetric influence on the conditional mean and volatility of the Japanese market using the daily returns on stock price indices.
Tatsuyoshi Miyakoshi +2 more
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THE DYNAMICS OF THE DOW JONES SUKUK VOLATILITY: EVIDENCE FROM EGARCH MODEL [PDF]
Business Excellence and Management, 2015 This paper aims to test the effect of asymmetric shocks on the volatility of the Dow Jones Sukuk. To this end, we applied the EGARCH model to give a clear idea of the effect of asymmetric shocks on the volatility of the sukuk.
Nadhem SELMI +2 more
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Asymmetric stable stochastic volatility models: estimation, filtering, and forecasting
Journal of Time Series Analysis, Volume 46, Issue 6, Page 1098-1124, November 2025.This article considers a stochastic volatility model featuring an asymmetric stable error distribution and a novel way of accounting for the leverage effect. We adopt simulation‐based methods to address key challenges in parameter estimation, the filtering of time‐varying volatility, and volatility forecasting.
Francisco Blasques +2 more
wiley +1 more source
Perbandingan Model Asimetris Volatilitas Return Indeks Saham Dengan EGARCH Dan EGARCH-ECM Pada Pasar Saham Syariah Dan Konvensional [PDF]
, 2015 Saham adalah surat berharga yang merupakan tanda kepemilikan terhadap suatu perusahaan sedangkan indek saham adalah indikator pergerakan harga saham.
Vulandari, Retno Tri
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Estimation and Inference for Higher‐Order Stochastic Volatility Models With Leverage
Journal of Time Series Analysis, Volume 46, Issue 6, Page 1064-1084, November 2025.ABSTRACT Statistical inference—estimation and testing—for stochastic volatility models is challenging and computationally expensive. This problem is compounded when leverage effects are allowed. We propose efficient, simple estimators for higher‐order stochastic volatility models with leverage [SVL(p)$$ (p) $$], based on a small number of moment ...
Md. Nazmul Ahsan +2 more
wiley +1 more source
MODEL MARKOV SWITCHING EGARCH PADA NILAI TUKAR EURO TERHADAP RUPIAH [PDF]
, 2013 Rupiah exchange rate against the euro has three characteristics, namely heteroskedasticity, leverage effects and conditions contained structural changes.
MONALISA, NANDA PUTRI
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Bitcoin ve Ethereum Piyasasında Takvim Anomalilerinin İncelenmesi
Selçuk Üniversitesi Sosyal Bilimler Meslek Yüksekokulu DergisiModern finans teorisinin köşe taşlarından biri olan Etkin Piyasa Hipotezi, piyasada mevcut olan tüm bilginin kullanılması suretiyle piyasanın üzerinde getiri elde edilemeyeceğini öne sürmektedir. Bununla birlikte finansal piyasalarda yapılan çalışmaların
Arzu Özmerdivanlı
doaj +1 more source