Results 261 to 270 of about 71,229 (282)

Varying Coefficient GARCH Models

2009
This paper offers a new method for estimation and forecasting of the volatility of financial time series when the stationarity assumption is violated. We consider varying–coefficient parametric models, such as ARCH and GARCH, whose coefficients may arbitrarily vary with time.
Cizek, P., Spokoiny, V.
openaire   +2 more sources

TESTING GARCH VERSUS E-GARCH

Statistics and Finance, 2000
Ling, Shiqing, McAleer, M.
openaire   +1 more source

?????????????????????????????? ???????????????????????? ???????????????? ?????????????????? ?????????????????????? ?????????????????? ?? ?????????????????????????? ???????????????????????????? ???? ???????????? ???????????????????? ?????????????? GARCH

2013
???????????????????? ?????????? ?????????????? ?????????????? GARCH ?????? ?????????????????????????? ???????????????????????? ?????????????? ?????????????????? ???????????????????????????? ???????????????????????????????????? ???????????????? ?????? ?????????????????????????? ?????????????? ?????????????? ?? ???????????? ?????????????????? ????????????
openaire   +1 more source

Glossary to ARCH (GARCH)

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).
openaire   +2 more sources

???????????? ?? ???????????????????? ?????????????????? ?????????????? GARCH ?????? ?????????????????????????????? ?????????????????? ???????????????????????????????????????? ?????????????????? ?? ?????????????????????????? ????????????????????????????

2010
?????????????????????? ?????????????????????????? ?????????????????? ???????????????????????????? ?????????????? GARCH ?????? ?????????????????????????????? ???????????????? ?????????????????? ???????????????????????????????????????? ?????????????????? ?????? ?????????????????????????? ?????????????? ???????????????????? ?? ???????????? ????????????????
openaire   +1 more source

PERBANDINGAN MODEL EXPONENTIAL GARCH, GJR-GARCH DAN QUADRATIC GARCH PADA INDEKS HARGA SAHAM GABUNGAN (IHSG) [PDF]

, 2023
Indeks Harga Saham Gabungan (IHSG) merupakan indeks pada Bursa Efek Indonesia yang melacak kinerja semua saham yang terdaftar di sana. IHSG biasanya digunakan untuk melihat gambaran kenaikan dan penurunan pasar investasi secara keseluruhan pada Bursa Efek Indonesia. Harga penutupan harian IHSG cenderung berfluktuasi dari waktu ke waktu yang menyebabkan
openaire  

GARCH MODELI

Ushbu maqolada GARCH modeli va uning tarixi keltirilgan bo’lib, bu model orqali vaqt bo’yicha o’zgaruvchan bo’lgan shartli dispersiya tahlil qilingan.
openaire   +1 more source

Coupled GARCH(1,1) model

Quantitative Finance, 2023
Huasheng Nie, Waelbroeck, Henri
openaire   +1 more source

Hashing GARCH

2007
George A. Christodoulakis, Stephen E. Satchell   +1 more
openaire   +1 more source

GARCH

2005
openaire   +1 more source