Results 81 to 90 of about 4,202 (205)

The Impact of Climatic Factors on Respiratory Pharmaceutical Demand: A Comparison of Forecasting Models for Greece

Environmetrics, Volume 36, Issue 7, October 2025.
ABSTRACT Climate change is increasingly recognized as a driver of health‐related outcomes, yet its impact on pharmaceutical demand remains largely understudied. As environmental conditions evolve and extreme weather events intensify, anticipating their influence on medical needs is essential for designing resilient healthcare systems.
Viviana Schisa, Matteo Farnè
wiley   +1 more source

Option pricing using EGARCH models [PDF]

, 2010
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
Schmitt, Christian
core  

Pemodelan efek asimetris dalam volatilitas dengan EGARCH [PDF]

, 2007
Volatilitas dapat diartikan sebagai nilai variansi dari perubahan data, sering dinyatakan dengan simpangan baku bersyarat (conditional standard deviation) dari suatu deret waktu. Model EGARCH adalah salah satu model volatilitas yang mempertimbangkan efek
IkaWirawati
core  

Modeling the Interactions between Volatility and Returns using EGARCH‐M

Journal of Time Series Analysis, 2018
An EGARCH‐M model, in which the logarithm of scale is driven by the score of the conditional distribution, is shown to be theoretically tractable as well as practically useful. A two‐component extension makes it possible to distinguish between the short‐ and long‐run effects of returns on volatility, and the resulting short‐ and long‐run volatility ...
Lange, Rutger-Jan, Harvey, AC
openaire   +3 more sources

Using TGARCH, TGARCH-M, EGARCH, EGARCH-M, PGARCH and PGARCH-M models Gaussian and non-Gaussian for modeling (EUR/USD) and (GBP/USD) Exchange Rate

, 2020
This paper aims to study characteristics of exchange rate volatility of (EUR/USD) and (GBP/USD) using daily closing prices for two time periods, sub-period form (1 January 2015 until 15 may 2020) and full period from(1 January 2010 until 15 may 2020 ...
Abdullah, Suhail Najm
core   +1 more source

VOLATILITY ANALYSIS USING THE EGARCH METHOD: CASE STUDY OF BBCA, BMRI, BRIS

Assets: Jurnal Akuntansi dan Pendidikan
This 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

PERBANDINGAN METODE EGARCH, JARINGAN SYARAF TIRUAN DAN NEURO-EGARCH UNTUK PERAMALAN DATA SAHAM : Studi Kasus Harga Saham Astra Internasional Tbk.

, 2014
Saham adalah tanda penyertaan modal seseorang atau pihak dalam suatu perseroan terbatas. Data saham sering kali mengalami fluktuasi yang tidak menentu.
Manullang, Kristin
core  

Analisis volatilitas saham perusahaan dengan metode EGARCH [PDF]

, 2015
Bentuk investasi yang umum adalah saham. Di dalam kegiatan berinvestasi, selalu ada dua hal penting yaitu risiko atau tingkat pengembalian (return).
Natasha, Azaria
core  

A Fusion of Statistical and Machine Learning Methods: GARCH-XGBoost for Improved Volatility Modelling of the JSE Top40 Index

International Journal of Financial Studies
Volatility modelling is a key feature of financial risk management, portfolio optimisation, and forecasting, particularly for market indices such as the JSE Top40 Index, which serves as a benchmark for the South African stock market.
Israel Maingo, Thakhani Ravele, Caston Sigauke   +2 more
doaj   +1 more source

Trends and Volatilities in Heterogeneous Patent Quality in Taiwan

Journal of Technology Management & Innovation, 2009
This study analyzes patent trends and volatilities for three heterogeneous quality patents in the Taiwan patent system from January 1973 to June 2006. The estimated models are symmetric GARCH and asymmetric EGARCH, providing full sample, rolling sample ...
Wen-Cheng Lu, Jong-Rong Chen, I-Hsuan Tung   +2 more
doaj   +1 more source