Results 51 to 60 of about 2,268 (179)

Forecasting daily conditional volatility and h-step-ahead short and long Value-at-Risk accuracy: Evidence from financial data

Journal of Finance and Data Science, 2016
In this article we evaluate the daily conditional volatility and h-step-ahead Value at Risk (VaR) forecasting power of three long memory GARCH-type models (FIGARCH, HYGARCH & FIAPARCH).
Samir Mabrouk
doaj   +1 more source

Developing Exp-FIGARCH Hybrid Models for Time Series Modelling

Dutse Journal of Pure and Applied Sciences
In this paper, we introduced a new hybrid model namely Exponential Autoregressive-Fractional Integrated Generalized Autoregressive  Conditional Heteroscedasticity (ExpAR-FIGARCH) model and study financial data. The Daily Nigeria All Share Stock Index that exhibit  nonlinear, volatility and long memory effect were analyzed in the study.
Jibrin, Sanusi Alhaji, Osi, Abdulhameed Ado, Shehu, Shukurana   +2 more
openaire   +2 more sources

İKİLİ UZUN HAFIZADA ASİMETRİ ETKİSİ: BİST BANKA ÖRNEĞİ

Mehmet Akif Ersoy Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 2019
Çalışmanın amacı, Türk bankacılık sektör endeksiningetiri ve volatilitesinde ikili uzun hafıza özelliğini ARFIMA-FIGARCH veARFIMA-FIEGARCH modeli ile inceleyerek etkin piyasalar hipotezini testetmektir. Bu amaçla modelde veri seti olarak 2008-2017 dönemi
Harun Kaya, İsmail Çelik
doaj   +1 more source

Enhancing Forecasting Accuracy in Commodity and Financial Markets: Insights from GARCH and SVR Models

International Journal of Financial Studies
The aim of this study is to enhance the understanding of volatility dynamics in commodity returns, such as gold and cocoa, as well as the financial market index S&P500. It provides a comprehensive overview of each model’s efficacy in capturing volatility
Apostolos Ampountolas
doaj   +1 more source

Out-of-sample Forecasting Performance of Won/Dollar Exchange Rate Return Volatility Model

East Asian Economic Review, 2009
We compare the out-of-sample forecasting performance of volatility models using daily exchange rate for the KRW/USD during the period from 1992 to 2008.
Hojin Lee
doaj   +1 more source

A Skewed Student-t Value-at-Risk Approach for Long Memory Volatility Processes in Japanese Financial Markets

East Asian Economic Review, 2007
This paper investigates the relevance of skewed Student-t distributions in capturing long memory volatility properties in the daily return series of Japanese financial data (Nikkei 225 Index and JPY-USD exchange rate).
Seong¡-Min Yoon , Sang-Hoon Kang
doaj   +1 more source

Modeling Sequences of Long Memory Positive Weakly Stationary Random Variables [PDF]

, 2002
In this paper we introduce a new class of covariance stationary long-memory models on the positive half-line. The overall structure of the models is related to that of GARCH processes of Engle (1982) and Bollerslev (1986), whereby sequence of random ...
Dmitri Koulikov
core   +1 more source

On the Predictability of Green Finance Markets: An Assessment Based on Fractal and Shannon Entropy

Fractal and Fractional
Econophysics is an interdisciplinary field that applies physics concepts to economic and financial systems. By utilizing tools such as statistical physics, including fractal analysis and entropy measures, econophysics helps model the complex and non ...
Sonia Benghiat, Salim Lahmiri
doaj   +1 more source

The impact of foreign exchange interventions: new evidence from FIGARCH estimations [PDF]

, 1999
info:eu-repo/semantics ...
Beine, Michel, Bénassy-Quéré, Agnes, Lecourt, Christelle   +2 more
openaire   +1 more source

The Predictive Performance of Asymmetric Normal Mixture GARCH in Risk Management: Evidence from Turkey [PDF]

The purpose of this study is to test predictive performance of Asymmetric Normal Mixture GARCH (NMAGARCH) and other GARCH models based on Kupiec and Christoffersen tests for Turkish equity market.
Alper Özün, Atilla Çifter
core   +3 more sources