Results 61 to 70 of about 772 (205)
Modelling Volatility Cycles: The MF2‐GARCH Model
Journal of Applied Econometrics, Volume 40, Issue 4, Page 438-454, June/July 2025.ABSTRACT We propose a novel multiplicative factor multi‐frequency GARCH (MF2‐GARCH) model, which exploits the empirical fact that the daily standardized forecast errors of one‐component GARCH models are predictable by a moving average of past standardized forecast errors.
Christian Conrad, Robert F. Engle
wiley +1 more source
Structural breaks and GARCH models of exchange rate volatility: Re‐examination and extension
Journal of Applied Econometrics, Volume 39, Issue 7, Page 1403-1407, November/December 2024.Summary We examine the empirical significance of structural changes concerning generalized autoregressive conditional heteroskedasticity (GARCH) models of exchange rate volatility using out‐of‐sample tests by replicating and carrying out robustness checks on the volatility forecasting study by Rapach and Strauss (Journal of Applied Econometrics, 2008 ...
Akram Shavkatovich Hasanov +3 more
wiley +1 more source
Volatility and Return Transmission among Cement Industry Stock Prices: an Application of Multivariate FIGARCH Modeling in High Frequency Financial time Series [PDF]
فصلنامه پژوهشهای اقتصادی ایران, 2011 Long memory in asset returns and volatilities is a new research area, both in theoretical and empirical modeling of high frequent financial time series. The most popular techniques of time series modeling with long memory is the ARFIMA-FIGARCH, but this ...
Gholamreza Keshavarz Haddad +2 more
doaj
THE LONG MEMORY BEHAVIOR IN TIME-VARYING BETA: AN EMPIRICAL APPLICATION ON BIST
SDÜ Vizyoner Dergisi, 2020 The study aims to investigate the long memory behavior in time-varying beta, a systematic risk indicator, in İstanbul Stock Exchange (BIST) sub-indices. Using the data regarding BIST national indices, sub-indices and two-year benchmark bond interest rate
İsmail Çelik, Hüseyin Keskin
doaj +1 more source
Forecasting West Texas Intermediate Crude Oil Price: Stochastic Differential Approach [PDF]
مدلسازی اقتصادسنجی, 2018 Uncertainty in oil markets has led economic researchers to the use of stochastic processes. The purpose of this paper, is the use of stochastic differential models to predict the crude oil price of West Texas Intermediate (WTI) and compare the ...
ramin khochiani, younes nademi
doaj +1 more source
Application of FIGARCH and EWMA Models on Stock Indices PX and BUX [PDF]
Acta Oeconomica Pragensia, 2011 Volatility of the financial time series belongs to the crucial estimated parameters in finance (e.g. in risk management, derivative pricing). It is well known, that volatility varies in time, so that new approaches of volatility modeling have appeared.
openaire +1 more source
THE IMPACT OF THE FINANCIAL CRISIS ON LONG MEMORY: EVIDENCE FROM EUROPEAN BANKING INDICES [PDF]
Annals of the University of Oradea: Economic Science, 2014 We have analyzed the impact of the financial crisis on the existence of the long term dependency for European banking indices. By estimating Hurst Exponent, ARFIMA and FIGARCH models we found that major financial crisis such as, Mexican, Asian and ...
Pece Andreea Maria +3 more
doaj
Modeling long-term volatility memory dynamics in the Colombo Stock Exchange [PDF]
IIM Ranchi Journal of Management StudiesPurposeThis study examines the long-term volatility memory dynamics of the Colombo Stock Exchange by comparing the behaviors of the All Share Price Index (ASPI) and the S&P SL20 Index under recent economic scenarios.Design/methodology/approachThe paper ...
Mohamed Ismail Mohamed Riyath
doaj +1 more source
Expected Shortfall based on Adaptive FIGARCH model [PDF]
, 2014 在风险管理领域，在险价值（VAR）是最常见的风险度量方法之一。在险价值（VAR）指的是在一定时期内，对一个固定概率而言的预期最大损失值。与常见的在险价值（VAR）方法相比，期望损失法（ES）和有条件的在险价值法（CVAR）更常被采用，这是因为它们估计了超过在险价值时的预期损失。本文介绍了基于适应性FIGARCH模型的期望损失，该模型比FIGARCH模型更能准确的估计波动率。 在后验测试中，我们采用了国际市场数据，对其进行Kupiec检验和百分之九十五和百分之九十九置信区间下的动态分位数回归检验 ...
WIPHOB THANAKANCHOT
core
East Asian Economic Review, 2016 This paper quantitatively compares the intrinsic features of the daily USD-GBP exchange rates in two different periods, the 1920s and the 2010s, under the same freely floating exchange rate system.
Young Wook Han
doaj +1 more source