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GARCH models without positivity constraints: Exponential or log GARCH? [PDF]
Journal of Econometrics, 2013 This paper provides a probabilistic and statistical comparison of the log-GARCH and EGARCH models, which both rely on multiplicative volatility dynamics without positivity constraints. We compare the main probabilistic properties (strict stationarity, existence of moments, tails) of the EGARCH model, which are already known, with those of an asymmetric
Francq, Christian +2 more
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GARCH Modeling of Cryptocurrencies [PDF]
SSRN Electronic Journal, 2017 With the exception of Bitcoin, there appears to be little or no literature on GARCH modelling of cryptocurrencies. This paper provides the first GARCH modelling of the seven most popular cryptocurrencies. Twelve GARCH models are fitted to each cryptocurrency, and their fits are assessed in terms of five criteria.
Chu, Jeffrey +3 more
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Comparative Economic Research, 2020 The goal of this comparative research is to investigate intra-market commonality in liquidity on six small emerging Central and Eastern European (CEE) stock exchanges – in the Czech Republic, Hungary, Slovakia, Lithuania, Estonia, and Latvia.
Joanna Olbryś
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Journal of Accounting and Investment, 2023 Research aims: Illiquidity risk is one of the complex issues that institutional investors and market participants continually face over time. It is because the constructs of illiquidity risk are sometimes complicated, robust, and not so evident in ...
Samuel Tabot Enow
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ESTIMATING WEAK GARCH REPRESENTATIONS [PDF]
Econometric Theory, 2000 The classical definitions of GARCH-type processes rely on strong assumptions on the first two conditional moments. The common practice in empirical studies, however, has been to test for GARCH by detecting serial correlations in the squared regression errors.
Christian Francq, Jean-Michel Zakoïan
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Sports Sentiment and Stock Returns: The Bombay Stock Exchange [PDF]
ACRN Journal of Finance and Risk Perspectives, 2019 Problem/Relevance: This study is motivated by psychological evidence of a strong connection between sporting event outcomes and mood. To evaluate this connection, we analyze the Indian stock market reaction to sudden changes in investors’ mood captured ...
Francisca Beer, Frank Lin
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Augmented GARCH sequences: Dependence structure and asymptotics [PDF]
, 2007 The augmented GARCH model is a unification of numerous extensions of the popular and widely used ARCH process. It was introduced by Duan and besides ordinary (linear) GARCH processes, it contains exponential GARCH, power GARCH, threshold GARCH ...
Hörmann, Siegfried
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Regime Switching GARCH Models [PDF]
SSRN Electronic Journal, 2006 We develop univariate regime-switching GARCH (RS-GARCH) models wherein the conditional variance switches in time from one GARCH process to another. The switching is governed by a time-varying probability, specified as a function of past information. We provide sufficient conditions for stationarity and existence of moments.
Luc, BAUWENS +2 more
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Analisi e progettazione di un sistema di misure quantitative per il monitoraggio dei rischi finanziari delle Garanzie d’Origine [PDF]
Risk Management Magazine, 2019 The aim of this work focuses on the risks arising from the emerging market of Guarantees of Origin (GO). In recent years, in fact, traded volumes of these electronic certifications have increased, although the markets are yet incomplete and not very ...
Anna Bottasso
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Recursive Estimation of Volatility for High Frequency Financial Data [PDF]
Statistika: Statistics and Economy Journal, 2021 The paper deals with recursive estimation of financial time series with conditional volatility. It surveys the recursive methodology suggested in Hendrych and Cipra (2018) and adjusts it for various alternatives of GARCH models which are usual in ...
Petr Vejmělka, Tomáš Cipra
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