Results 21 to 30 of about 40,912 (303)
GARCH models without positivity constraints: Exponential or log GARCH? [PDF]
Journal of Econometrics, 2013 This paper provides a probabilistic and statistical comparison of the log-GARCH and EGARCH models, which both rely on multiplicative volatility dynamics without positivity constraints. We compare the main probabilistic properties (strict stationarity, existence of moments, tails) of the EGARCH model, which are already known, with those of an asymmetric
Francq, Christian +2 more
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Covid-19 pandemic and stock returns volatility: Evidence from Vietnam’s stock marke
Ho Chi Minh City Open University Journal of Science - Economics and Business Administration, 2022 The Covid-19 global pandemic has caused trouble for labour and financial markets worldwide, and financial and health crises resulted. This makes policy makers get confused. The study is carried out with the aim of investigating the impacts of Covid-19 on
Nguyen Thi My Linh
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Forecasting residential natural gas consumption in Egypt [PDF]
Journal of Humanities and Applied Social Sciences, 2020 Purpose – This paper aims to obtain accurate forecasts of the hourly residential natural gas consumption, in Egypt, taken into consideration the volatile multiple seasonal nature of the gas series.
Mohamed Ali Ismail +1 more
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Multivariate GARCH Models [PDF]
SSRN Electronic Journal, 2008 This article contains a review of multivariate GARCH models. Most common GARCH models are presented and their properties considered. This also includes nonparametric and semiparametric models. Existing specification and misspecification tests are discussed.
Silvennoinen, Annastiina +1 more
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Two are better than one: Volatility forecasting using multiplicative component GARCH‐MIDAS models
Journal of applied econometrics, 2020 We examine the properties and forecast performance of multiplicative volatility specifications that belong to the class of generalized autoregressive conditional heteroskedasticity–mixed-data sampling (GARCH-MIDAS) models suggested in Engle, Ghysels ...
Christian Conrad, Onno Kleen
semanticscholar +1 more source
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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Comparison Results for GARCH Processes [PDF]
Journal of Applied Probability, 2012 We consider the problem of stochastic comparison of general GARCH-like processes for different parameters and different distributions of the innovations. We identify several stochastic orders that are propagated from the innovations to the GARCH process itself, and we discuss their interpretations. We focus on the convex order and show that in the case
F. Bellini +3 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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Temporal Aggregation of Garch Processes [PDF]
Econometrica, 1993 Abstract We derive low frequency, say weekly, models implied by high frequency, say daily, ARMA models with symmetric GARCH errors. Both stock and flow variable cases are considered. We show that low frequency models exhibit conditional heteroskedasticity of the GARCH form as well.
Drost, F.C., Nijman, T.E.
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Asymmetric volatility in cryptocurrency markets: New evidence from smooth transition GARCH models
Finance Research Letters, 2020 This paper investigates the presence of asymmetric volatility dynamics in Bitcoin, Ethereum, Ripple, and Litecoin. Asymmetric effects between good and bad news are traditionally modeled using threshold GARCH models that allow only for two possible ...
Nidhaleddine Ben Cheikh +2 more
semanticscholar +1 more source