Results 81 to 90 of about 772 (205)

基于GARCH类模型的中国股市收益率分析

四川大学学报. 自然科学版, 2012
自二十世纪八十年代以来,金融时间序列的波动群聚性,尖峰厚尾性和长记忆性特征的研究已经成为众多研究的论题,是当今金融风险管理的核心.GARCH类模型是波动群聚性建模中常用的模型.作者在简要介绍金融时间序列波动性的GARCH模型的基础上,运用MATLAB软件包编程,利用FIGARCH模型、NAGARCH模型和EGARCH模型对中国股市波动特征进行建模,并比较了正态分布、Student-t分布、GED分布和偏t分布等四种不同分布特征的FIGARCH、NAGARCH和EGARCH模型对中国股市波动特征的拟合 ...
张琳, 罗杨飞, 唐亚勇
doaj  

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
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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

Estimating Value-at-Risk for the Turkish Stock Index Futures in the Presence of Long Memory Volatility [PDF]

This paper examines the long memory properties for closing prices of the Turkish stock index futures market using the FIGARCH(1,d,1) model with three different distributions : Normal, Student-t, and skewed Student-t.
Adnan Kasman
core  

Long Term Hedging of the Australian All Ordinaries Index Using a Bivariate Error Correction FIGARCH Model [PDF]

, 2004
This article compares the performance of bivariate error correction GARCH and FIGARCH models when estimating long term dynamic minimum variance hedge ratios (MVHRs) on the Australian All Ordinaries Index.
Dark, Jonathan
core   +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
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Long memory of volatility measures in time series [PDF]

The authors analyse relations between the long memory parameter of conditional variance and estimates of the long memory in squared residuals in FIGARCH models. The investigations are performed by means of simulations FIGARCH(0, d, 0) and FIGARCH(1, d, 1)
Henryk Gurgul, Tomasz Wojtowicz
core  

Volatilitetsprediktering och beräkning av Value at Risk med hjälp av FIGARCH [PDF]

, 2016
En av typegenskaperna för finansiell data är dess långa minne och för att modellera detta är Fractionally Integrated GARCH (FIGARCH) en möjlighet. Denna rapport låter FIGARCH jämföra sig med GARCH, IGARCH och EGARCH för volatilitetsprediktering på två ...
Mörée, Felix
core  

Inflação inercial como um processo de longa memória: análise a partir de um modelo Arfima-Figarch [PDF]

, 2009
O objetivo principal deste estudo é investigar a dependência de longo prazo da inflação brasileira, descrevendo-a como um processo fracionariamente integrado tanto na média quanto na variância.
Figueiredo, Erik Alencar de, Marques, André M., Erik Alencar de Figueiredo, André M. Marques   +3 more
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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
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