Results 21 to 30 of about 71,229 (282)
Empirical performance of GARCH, GARCH-M, GJR-GARCH and log-GARCH models for returns volatility
Journal of Physics: Conference Series, 2019 Abstract Volatility plays an important role in the field of financial econometrics as one of the risk indicators. Many various models address the problem of modeling the volatilities of financial asset returns. This study provides a new empirical performance comparison of the four different GARCH-type models, namely GARCH, GARCH-M, GJR ...
D B Nugroho +5 more
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Time‐varying volatility modelling of Baltic stock markets
Journal of Business Economics and Management, 2010 As time‐varying volatility has found applications in roughly all time series modelling in economics, it largely draws attention in the areas of financial markets.
Bora Aktan +2 more
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Journal of Finance and Data Science, 2016 The daily returns of four African countries' stock market indices for the period January 2, 2000, to December 31, 2014, were employed to compare the GARCH(1,1) model and a newly proposed Maximal Overlap Discreet Wavelet Transform (MODWT)-GARCH(1,1) model.
Mohd Tahir Ismail +2 more
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Tek Değişkenli GARCH Modelleri İle Türkiye’nin CDS Primi Oynaklığının Analizi
İzmir İktisat Dergisi, 2020 Kredi türev ürünleri, kredi riskini minimize etmek için 1990’lı yıllarda finans piyasalarında kullanılmaya başlanmış ve kredi olaylarından kaynaklanan zararlara karşı sigorta sağlayarak, kredi riskine maruz kalmayı azaltmak veya ortadan kaldırmak için ...
Mehmet Ozan ÖZDEMİR, Hamdi EMEÇ
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Football and Stock Market Performance Correlation: Evidence from Italy
Scientific Annals of Economics and Business, 2019 The increasing growth of soccer economy is delivering new challenges for prospective investors in terms of stock price volatility. Such challenges are rooted in behavioral finance and efficient market hypotheses.
Claudiu Botoc +2 more
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Serbian Journal of Management, 2020 The subject of this research is to analyze and test the modified GARCH methodology in terms of quantifying the impact of inflation rates, interest rates on government bonds, reference interest rates, and exchange rates on daily rates of return on ...
Nenad Penezić +3 more
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A Continuous Time GARCH Process Driven by a Lévy Process: Stationarity and Second Order Behaviour [PDF]
, 2005 We use a discrete time analysis, giving necessary and sufficient conditions for the almost sure convergence of ARCH(1) and GARCH(1,1) discrete time models, tosuggest an extension of the (G)ARCH concept to continuous time processes.
Klüppelberg, Claudia +2 more
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A Copula-Garch Modelcopula-Garch Model [PDF]
Economic Research-Ekonomska Istraživanja, 2010 AbstractIn the present study we develop a new two-dimensional Copula-GARCH model. This type of two-dimensional process is characterized by a dependency structure modeled using a copula function. For the marginal densities we employ a GARCH(1,1) model with innovations drawn from a t-Student distribution.
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Improving GARCH volatility forecasts with regime-switching GARCH [PDF]
Empirical Economics, 2002 Many researchers use GARCH models to generate volatility forecasts. Using data on three major U.S. dollar exchange rates we show that such forecasts are too high in volatile periods. We argue that this is due to the high persistence of shocks in GARCH forecasts.
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Estimating the Effects of Exchange Rate Volatility on Export Volumes
Journal of Agricultural and Resource Economics, 2007 This paper takes a new empirical look at the long-standing question of the effect of exchange rate volatility on international trade flows by studying the case of Taiwan's exports to the United States from 1989-1998.
Kai-Li Wang, Christopher B. Barrett
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