Results 21 to 30 of about 72,454 (299)
An exceptional localization of hydatidosis
PAMJ Clinical Medicine, 2020 A 48-years-old woman, presenting a huge mass of the posterior surface of the thigh, fixed on the deep and superficial planes, evolving for 1 year. The patient has no particular pathological history, and no other signs were noted, including neither weight´
Oussama Eladaoui, Abdelhak Garch
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Recent Examination of Energy Markets Volatility
Studies in Business and Economics, 2023 The main aim of the paper is to examine if the energy market (crude oil, gas and electricity) realized volatility exhibits a symmetric or an asymmetric behaviour, for certain commodities over the period May 2012 – August 2022.
Jude Octavian +2 more
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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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GARCH Modeling of Cryptocurrencies [PDF]
SSRN Electronic Journal, 2017 With the exception of Bitcoin, there appears to be little or no literature on GARCH modelling of cryptocurrencies. This paper provides the first GARCH modelling of the seven most popular cryptocurrencies. Twelve GARCH models are fitted to each cryptocurrency, and their fits are assessed in terms of five criteria.
Chu, Jeffrey +3 more
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ESTIMATING WEAK GARCH REPRESENTATIONS [PDF]
Econometric Theory, 2000 The classical definitions of GARCH-type processes rely on strong assumptions on the first two conditional moments. The common practice in empirical studies, however, has been to test for GARCH by detecting serial correlations in the squared regression errors.
Christian Francq, Jean-Michel Zakoïan
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Regime Switching GARCH Models [PDF]
SSRN Electronic Journal, 2006 We develop univariate regime-switching GARCH (RS-GARCH) models wherein the conditional variance switches in time from one GARCH process to another. The switching is governed by a time-varying probability, specified as a function of past information. We provide sufficient conditions for stationarity and existence of moments.
Luc, BAUWENS +2 more
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Augmented GARCH sequences: Dependence structure and asymptotics [PDF]
, 2007 The augmented GARCH model is a unification of numerous extensions of the popular and widely used ARCH process. It was introduced by Duan and besides ordinary (linear) GARCH processes, it contains exponential GARCH, power GARCH, threshold GARCH ...
Hörmann, Siegfried
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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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