PERBANDINGAN METODE EGARCH, JARINGAN SYARAF TIRUAN DAN NEURO-EGARCH UNTUK PERAMALAN DATA SAHAM : Studi Kasus Harga Saham Astra Internasional Tbk. [PDF]
, 2014 Saham adalah tanda penyertaan modal seseorang atau pihak dalam suatu perseroan terbatas. Data saham sering kali mengalami fluktuasi yang tidak menentu.
Manullang, Kristin
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Markov regime-switching Beta-t-EGARCH
, 2017 We suggest a Markov regime-switching (MS) Beta-t-EGARCH (exponential generalized autoregressive conditional heteroscedasticity) model for U.S. stock returns.
Ho, Han Chiang +3 more
core +1 more source
Complex Network Built From Stock Price Returns and Volumes to Predict Market Volatility and Volume
Complexity, Volume 2026, Issue 1, 2026.This study investigates if network features from stock return and trading volume correlations can improve one‐month‐ahead forecasts of Vietnam’s VNIndex volatility and volume (2018–2024). We construct dynamic financial networks using Threshold, Top‐k, and minimum spanning tree (MST) filtering methods, calculating metrics like density, centrality, and ...
N-K-K. Nguyen +3 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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Analyzing Cryptocurrency Volatility: An EGARCH Model
Panorama EconómicoThe aim of this article is to examine the reasons why cryptocurrency volatility hinders its potential to replace fiat money as legal tender. We focus on Bitcoin and Ethereum for this analysis. By applying an augmented Dickey-Fuller stationarity test, we demonstrate that cryptocurrencies lack a long-term trend; instead, their movement is erratic and ...
Guillermo Arroyo Jiménez +1 more
openaire +1 more source
Stock Return, Volume and Volatility in the EGARCH model
Journal of Insurance and Finance, 2020 I use EGARCH model to study the asymmetric impact of negative and positive shocks on stock return volatility. I find the asymmetric effects exist and the impact on volatility of a negative shock is greater than that of a positive shock. Furthermore, I examine the dynamic relationship between returns, volume and volatility of stock index by introducing ...
openaire +1 more source
International Journal of Energy Research, Volume 2026, Issue 1, 2026.As the leading energy source, oil price volatility has crucial effects in energy markets, and geopolitical risks (GPRs) and economic policy uncertainties contribute to its volatility. Further, chaos, long‐range dependence, fractionality, and complexity significantly reduce modeling and forecast performances.
Özgür Ömer Ersin +2 more
wiley +1 more source
Does Internet access to official data display any regularity: case of the Electronic Data Delivery System of the Central Bank of Turkey [PDF]
1990s were the years of enormous growth of information exchange. Rapid development, augmented coverage and wide accessibility of Internet have been the key factors of that amazing growth.
Tokel, Omer Emre, Yucel, Eray M.
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VOLATILITY ANALYSIS USING THE EGARCH METHOD: CASE STUDY OF BBCA, BMRI, BRIS
Assets: Jurnal Akuntansi dan PendidikanThis study aimed to test the volatility model of BBCA and BMRI stocks on the IDX. The research problem is whether there is an influence of BBCA and LQ45 volatility on BMRI and vice versa.
Suhendro Suhendro, Purnama Siddi
doaj +1 more source
VARMA-EGARCH Model for Air-Quality Analyses and Application in Southern Taiwan
Atmosphere, 2020 This study adopted the Exponential Generalized Autoregressive Conditional Heteroscedasticity (EGARCH) model to analyze seven air pollutants (or the seven variables in this study) from ten air quality monitoring stations in the Kaohsiung–Pingtung Air ...
Edward Ming-Yang Wu, Shu-Lung Kuo
doaj +1 more source