Results 11 to 20 of about 18,304 (313)
Limit experiments of GARCH [PDF]
Bernoulli 2012, Vol. 18, No. 1, 64-99, 2012 GARCH is one of the most prominent nonlinear time series models, both widely applied and thoroughly studied. Recently, it has been shown that the COGARCH model (which was introduced a few years ago by Kl\"{u}ppelberg, Lindner and Maller) and Nelson's diffusion limit are the only functional continuous-time limits of GARCH in distribution. In contrast to
Buchmann, Boris, Muller, Gernot
arxiv +8 more sources
arXivWe introduce a novel multivariate GARCH model with flexible convolution-t distributions that is applicable in high-dimensional systems. The model is called Cluster GARCH because it can accommodate cluster structures in the conditional correlation matrix and in the tail dependencies.
Tong, Chen +2 more
arxiv +3 more sources
Multivariate GARCH Models [PDF]
SSRN Electronic Journal, 2008 This article contains a review of multivariate GARCH models. Most common GARCH models are presented and their properties considered. This also includes nonparametric and semiparametric models. Existing specification and misspecification tests are discussed.
Silvennoinen, Annastiina +1 more
openaire +6 more sources
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
openaire +4 more sources
Empirical performance of GARCH, GARCH-M, GJR-GARCH and log-GARCH models for returns volatility [PDF]
Journal of Physics: Conference Series, 2019 Abstract Volatility plays an important role in the field of financial econometrics as one of the risk indicators. Many various models address the problem of modeling the volatilities of financial asset returns. This study provides a new empirical performance comparison of the four different GARCH-type models, namely GARCH, GARCH-M, GJR ...
D Kurniawati +5 more
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Revista de Administração Contemporânea, 2021 ABSTRACT Context: modeling volatility is an advanced technique in financial econometrics, with several applications for academic research. Objective: in this tutorial paper, we will address the topic of volatility modeling in R. We will discuss the underlying logic of GARCH models, their representation and estimation process, along with a descriptive
Marcelo Scherer Perlin +3 more
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Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes [PDF]
Bernoulli, 2004 We prove the strong consistency and asymptotic normality of the quasi-maximum likelihood estimator of the parameters of pure generalized autoregressive conditional heteroscedastic (GARCH) processes, and of autoregressive moving-average models with noise sequence driven by a GARCH model. Results are obtained under mild conditions.
Christian Francq, Jean‐Michel Zakoïan
openalex +3 more sources
Pro forma modeling of cryptocurrency returns, volatilities, linkages and portfolio characteristics
China Accounting and Finance Review, 2023 Critics say cryptocurrencies are hard to predict and lack both economic value and accounting standards, while supporters argue they are revolutionary financial technology and a new asset class.
Rama K. Malladi
doaj +1 more source
Closing the GARCH gap: Continuous time GARCH modeling [PDF]
Journal of Econometrics, 1996 Abstract It is the purpose of this paper to build a bridge between continuous time models, which are central in the modern finance literature, and (weak) GARCH processes in discrete time, which often provide parsimonious descriptions of the observed data.
Werker, B.J.M., Drost, F.C.
openaire +8 more sources
Recent Examination of Energy Markets Volatility
Studies in Business and Economics, 2023 The main aim of the paper is to examine if the energy market (crude oil, gas and electricity) realized volatility exhibits a symmetric or an asymmetric behaviour, for certain commodities over the period May 2012 – August 2022.
Jude Octavian +2 more
doaj +1 more source