Results 271 to 280 of about 15,849 (295)
Some of the next articles are maybe not open access.
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
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
Journal of Time Series Analysis, 2006
Abstract. An integer‐valued analogue of the classical generalized autoregressive conditional heteroskedastic (GARCH) (p,q) model with Poisson deviates is proposed and a condition for the existence of such a process is given. For the case p = 1, q = 1, it is explicitly shown that an integer‐valued GARCH process is a standard autoregressive moving ...
Ferland, René +2 more
openaire +2 more sources
Abstract. An integer‐valued analogue of the classical generalized autoregressive conditional heteroskedastic (GARCH) (p,q) model with Poisson deviates is proposed and a condition for the existence of such a process is given. For the case p = 1, q = 1, it is explicitly shown that an integer‐valued GARCH process is a standard autoregressive moving ...
Ferland, René +2 more
openaire +2 more sources
Journal of Empirical Finance, 2019
There is strong empirical evidence that the GARCH estimates obtained from panels of financial time series cluster. In order to capture this empirical regularity, this paper introduces the Hierarchical GARCH (HG) model. The HG is a nonlinear panel specification in which the coefficients of each series are modeled as a function of observed series ...
openaire +1 more source
There is strong empirical evidence that the GARCH estimates obtained from panels of financial time series cluster. In order to capture this empirical regularity, this paper introduces the Hierarchical GARCH (HG) model. The HG is a nonlinear panel specification in which the coefficients of each series are modeled as a function of observed series ...
openaire +1 more source
Varying Coefficient GARCH Models
2009This 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
2013
???????????????????? ?????????? ?????????????? ?????????????? GARCH ?????? ?????????????????????????? ???????????????????????? ?????????????? ?????????????????? ???????????????????????????? ???????????????????????????????????? ???????????????? ?????? ?????????????????????????? ?????????????? ?????????????? ?? ???????????? ?????????????????? ????????????
openaire +1 more source
???????????????????? ?????????? ?????????????? ?????????????? GARCH ?????? ?????????????????????????? ???????????????????????? ?????????????? ?????????????????? ???????????????????????????? ???????????????????????????????????? ???????????????? ?????? ?????????????????????????? ?????????????? ?????????????? ?? ???????????? ?????????????????? ????????????
openaire +1 more source
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
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
2010
?????????????????????? ?????????????????????????? ?????????????????? ???????????????????????????? ?????????????? GARCH ?????? ?????????????????????????????? ???????????????? ?????????????????? ???????????????????????????????????????? ?????????????????? ?????? ?????????????????????????? ?????????????? ???????????????????? ?? ???????????? ????????????????
openaire +1 more source
?????????????????????? ?????????????????????????? ?????????????????? ???????????????????????????? ?????????????? 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
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
openaire +1 more source