Results 261 to 270 of about 40,912 (303)

Noising the GARCH Volatility: A Random Coefficient GARCH Model

Journal of Time Series Analysis
ABSTRACTThis paper proposes a noisy GARCH model with two volatility sequences (an unobserved and an observed/predictive one) and a stochastic time‐varying conditional kurtosis. The unobserved volatility equation, equipped with random coefficients, is a linear function of the past squared observations and of the past predictive volatility.
Abdelhakim Aknouche, Bader Almohaimeed, Stefanos Dimitrakopoulos   +2 more
openaire   +1 more source

SPI-based drought simulation and prediction using ARMA-GARCH model

Applied Mathematics and Computation, 2019
Drought is one of the most frequent climate-related disasters occurring in North China Plain. The accurate and timely information of drought is vital for crop production and food security.
Qi Liu, Guanlan Zhang, Shahzad Ali, Xiaopeng Wang, Guodong Wang, Zhenkuan Pan, Jiahua Zhang   +6 more
semanticscholar   +1 more source

Modelling the dynamics of Bitcoin and Litecoin: GARCH versus stochastic volatility models

Applied Economics, 2019
We examine and compare a large number of generalized autoregressive conditional heteroskedastic (GARCH) and stochastic volatility (SV) models using series of Bitcoin and Litecoin price returns to assess the model fit for dynamics of these cryptocurrency ...
A. Tiwari, Satish Kumar, Rajesh Pathak
semanticscholar   +1 more source

Viacrozmerný GARCH

2015
4 Title: Multivariate GARCH Author: Mgr. Milan Mad'ar Department: Katedra pravděpodobnosti a matematické statistiky Abstract: This thesis will examine the regional and global linkages as evi- dence the integrated markets consist of stock markets in Frankfurt, Amsterdam, Prague the U.S.
openaire   +5 more sources

TESTING GARCH VERSUS E-GARCH

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

Short‐Term High-Speed Traffic Flow Prediction Based on ARIMA-GARCH-M Model

Wireless personal communications, 2021
Xianfu Lin, Yuzhang Huang
semanticscholar   +1 more source

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

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

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

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

Volatility estimation for Bitcoin: A comparison of GARCH models

, 2017
Paraskevi Katsiampa
semanticscholar   +1 more source

Forecasting Financial Returns Volatility: A GARCH-SVR Model

Computational Economics, 2020
Hao Sun, Bo Yu
semanticscholar   +1 more source