Results 11 to 20 of about 4,908 (260)
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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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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An exceptional localization of hydatidosis
PAMJ Clinical Medicine, 2020 A 48-years-old woman, presenting a huge mass of the posterior surface of the thigh, fixed on the deep and superficial planes, evolving for 1 year. The patient has no particular pathological history, and no other signs were noted, including neither weight´
Oussama Eladaoui, Abdelhak Garch
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Covid-19 pandemic and stock returns volatility: Evidence from Vietnam’s stock marke
Ho Chi Minh City Open University Journal of Science - Economics and Business Administration, 2022 The Covid-19 global pandemic has caused trouble for labour and financial markets worldwide, and financial and health crises resulted. This makes policy makers get confused. The study is carried out with the aim of investigating the impacts of Covid-19 on
Nguyen Thi My Linh
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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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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
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Empirical performance of GARCH, GARCH-M, GJR-GARCH and log-GARCH models for returns volatility
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 B Nugroho +5 more
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A Copula-Garch Modelcopula-Garch Model [PDF]
Economic Research-Ekonomska Istraživanja, 2010 AbstractIn the present study we develop a new two-dimensional Copula-GARCH model. This type of two-dimensional process is characterized by a dependency structure modeled using a copula function. For the marginal densities we employ a GARCH(1,1) model with innovations drawn from a t-Student distribution.
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Comparison Results for GARCH Processes [PDF]
Journal of Applied Probability, 2012 We consider the problem of stochastic comparison of general GARCH-like processes for different parameters and different distributions of the innovations. We identify several stochastic orders that are propagated from the innovations to the GARCH process itself, and we discuss their interpretations. We focus on the convex order and show that in the case
F. Bellini +3 more
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Temporal Aggregation of Garch Processes [PDF]
Econometrica, 1993 Abstract We derive low frequency, say weekly, models implied by high frequency, say daily, ARMA models with symmetric GARCH errors. Both stock and flow variable cases are considered. We show that low frequency models exhibit conditional heteroskedasticity of the GARCH form as well.
Drost, F.C., Nijman, T.E.
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