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Bitcoin returns and risk: A general GARCH and GAS analysis
Finance Research Letters, 2019This paper performs a general GARCH and GAS analysis for modelling and forecasting bitcoin returns and risk. Since Bitcoin trading exhibits excess volatility compared with other securities, it is important to model its risk and returns. We consider heavy-
Victor Troster +3 more
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SSRN Electronic Journal, 2008
The literature on modeling and forecasting time-varying volatility is ripe with acronyms and abbreviations used to describe the many different parametric models that have been put forth since the original linear ARCH model introduced in the seminal Nobel Prize winning paper by Engle (1982).
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The literature on modeling and forecasting time-varying volatility is ripe with acronyms and abbreviations used to describe the many different parametric models that have been put forth since the original linear ARCH model introduced in the seminal Nobel Prize winning paper by Engle (1982).
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The Journal of Derivatives, 1995 This paper addresses the issue of hedging option positions when the underlying asset exhibits stochastic volatility. By parameterizing the volatility process as GARCH, and utilizing risk- neutral valuation, we estimate hedging parameters (delta and gamma) using Monte-Carlo simulation.
Robert F. Engle, Joshua V. Rosenberg
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Comparison of BEKK GARCH and DCC GARCH Models: An Empirical Study
2010Modeling volatility and co-volatility of a few zero-coupon bonds is a fundamental element in the field of fix-income risk evaluation. Multivariate GARCH model (MGARCH), an extension of the well-known univariate GARCH, is one of the most useful tools in modeling the co-movement of multivariate time series with time-varying covariance matrix. Grounded on
Yiyu Huang, Wenjing Su, Xiang Li 0033
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Physics Bulletin, 1976
More and more of the world's power requirements are being met by nuclear energy released in fission processes involving heavy atomic nuclei. Nuclear energy can, however, also be derived from the thermonuclear fusion of light atomic nuclei; the energy of the sun, like that of most other stars, is generated in this way.
Roethlein, B., Zankl, G.
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More and more of the world's power requirements are being met by nuclear energy released in fission processes involving heavy atomic nuclei. Nuclear energy can, however, also be derived from the thermonuclear fusion of light atomic nuclei; the energy of the sun, like that of most other stars, is generated in this way.
Roethlein, B., Zankl, G.
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A multivariate skew-garch model
2005Empirical research on European stock markets has shown that they behave differently according to the performance of the leading financial market identified as the US market. A positive sign is viewed as good news in the international financial markets, a negative sign means, conversely, bad news.
DE LUCA, GIOVANNI +2 more
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VIX forecasting based on GARCH-type model with observable dynamic jumps: A new perspective
, 2020This paper proposes to study VIX forecasting based on discrete time GARCH-type model with observable dynamic jump intensity by incorporating high frequency information (DJI-GARCH model).
Gaoxiu Qiao, Jiyu Yang, Weiping Li
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ON MIXTURE MEMORY GARCH MODELS
Journal of Time Series Analysis, 2013We propose a new volatility model, which is called the mixture memory generalized autoregressive conditional heteroskedasticity (MM‐GARCH) model. The MM‐GARCH model has two mixture components, of which one is a short‐memory GARCH and the other is the long‐memory fractionally integrated GARCH.
Li, M, Li, WK, Li, G
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Emerging markets finance & trade, 2018
In this article, we analyze the role of country-specific and global geopolitical risks (GPRs) on the returns and volatility of 18 emerging market economies over the monthly period of 1998:11 to 2017:06.
Christos Bouras +3 more
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In this article, we analyze the role of country-specific and global geopolitical risks (GPRs) on the returns and volatility of 18 emerging market economies over the monthly period of 1998:11 to 2017:06.
Christos Bouras +3 more
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GARCH, Outliers, and Forecasting Volatility
2011The issue of detecting and handling outliers in GARCH processes has received considerable attention recently. In this chapter, we put forwardan iterative outlier detection procedure, which is appropriate given that in practice both the number of outliers as well as their timing is unknown. Our procedure aims to test for the presence of a single outlier
Franses, Philip Hans, van Dijk, Dick
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