Results 241 to 250 of about 40,912 (303)

Forecasting the volatility of stock price index: A hybrid model integrating LSTM with multiple GARCH-type models

Expert systems with applications, 2018
Volatility plays crucial roles in financial markets, such as in derivative pricing, portfolio risk management, and hedging strategies. Therefore, accurate prediction of volatility is critical.
Ha Young Kim, C. H. Won
semanticscholar   +1 more source

Forecasting stock price volatility: New evidence from the GARCH-MIDAS model

, 2020
This paper introduces a combination of asymmetry and extreme volatility effects in order to build superior extensions of the GARCH-MIDAS model for modeling and forecasting the stock volatility.
Lu Wang, Feng Ma, Jing Liu, Lin Yang
semanticscholar   +1 more source

A hybrid deep learning approach by integrating LSTM-ANN networks with GARCH model for copper price volatility prediction

Physica A: Statistical Mechanics and its Applications, 2020
Forecasting the copper price volatility is an important yet challenging task. Given the nonlinear and time-varying characteristics of numerous factors affecting the copper price, we propose a novel hybrid method to forecast copper price volatility.
Yan Hu, J. Ni, L. Wen
semanticscholar   +1 more source

Predicting the long-term stock market volatility: A GARCH-MIDAS model with variable selection

Journal of Empirical Finance, 2020
We consider a GARCH-MIDAS model with short-term and long-term volatility components, in which the long-term volatility component depends on many macroeconomic and financial variables. We select the variables that exhibit the strongest effects on the long-
Tong Fang, Tae-Hwy Lee, Zhi Su
semanticscholar   +1 more source

Estimating yield spreads volatility using GARCH-type models

The North American journal of economics and finance, 2021
The primary focus of this study is on modeling the relationship between the volatility of corporate bond yield spreads and other covariates, including interest rate volatility, equity volatility, and rating.
Jong‐Min Kim, Dong H. Kim, Hojin Jung
semanticscholar   +1 more source

Dynamic Asymmetric GARCH

Journal of Financial Econometrics, 2006
This article develops the dynamic asymmetric GARCH (or DAGARCH) model that generalizes asymmetric GARCH models such as that of Glosten, Jagannathan, and Runkle (GJR), introduces multiple thresholds, and makes the asymmetric effect time dependent. We provide the stationarity conditions for the DAGARCH model and show how GJR can be obtained as a special ...
CAPORIN, MASSIMILIANO, M. MCALEER
openaire   +2 more sources

Modeling the nexus of crude oil, new energy and rare earth in China: An asymmetric VAR-BEKK (DCC)-GARCH approach

, 2020
This study investigated the volatility spillovers and dynamic correlations between international crude oil, new energy and rare earth markets in China, given China's dominating position in rare earths production/processing and the investable-commodity ...
Yufeng Chen, Biao Zheng, Fang Qu
semanticscholar   +1 more source

Volatility spillover in crypto-currency markets: Some evidences from GARCH and wavelet analysis

Physica A: Statistical Mechanics and its Applications, 2019
We study the dynamics of volatility spillover across four major cryptocurrency returns namely Bitcoin, Ethereum, Ripple and Litecoin from 15 − 08 − 2015 to 18 − 01 − 2018 .
Anoop S. Kumar, S. Anandarao
semanticscholar   +1 more source

GO‐GARCH: a multivariate generalized orthogonal GARCH model

Journal of Applied Econometrics, 2002
AbstractMultivariate GARCH specifications are typically determined by means of practical considerations such as the ease of estimation, which often results in a serious loss of generality. A new type of multivariate GARCH model is proposed, in which potentially large covariance matrices can be parameterized with a fairly large degree of freedom while ...
openaire   +3 more sources

Carbon option price forecasting based on modified fractional Brownian motion optimized by GARCH model in carbon emission trading

, 2020
With the rapid growth of carbon trading, the development of carbon financial derivatives such as carbon options has become inevitable. This paper established a model based on GARCH and fractional Brownian motion (FBM), hoping to provide reference for ...
Zhibin Liu, Shan Huang
semanticscholar   +1 more source