Results 31 to 40 of about 71,229 (282)
The Journal of Derivatives, 1995 This paper addresses the issue of hedging option positions when the underlying asset exhibits stochastic volatility. By parameterizing the volatility process as GARCH, and utilizing risk- neutral valuation, we estimate hedging parameters (delta and gamma) using Monte-Carlo simulation.
Robert Engle, Joshua Rosenberg
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Price Volatility of Horticulture Commodity During the Pandemic in East Java, Indonesia
Habitat, 2023 In the past two years, market information and the distribution of agricultural products have been affected by the COVID-19 pandemic, which has limited the distribution of information and the movement of agricultural products.
Rachman Hartono +3 more
doaj +1 more source
TESTING OF THE BLACK SCHOLES AND GARCH MODELS IN LQ45 USING LONG STRADDLE STRATEGY IN 2009-2018
Jurnal Bisnis dan Manajemen, 2021 The purpose of this study is to examine the implementation of option contracts using Black Scholes and GARCH on the LQ45 index using the long straddle strategy.
Riko Hendrawan, Anggadi Sasmito
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A multivariate generalized independent factor GARCH model with an application to financial stock returns [PDF]
, 2008 We propose a new multivariate factor GARCH model, the GICA-GARCH model , where the data are assumed to be generated by a set of independent components (ICs).
García-Ferrer, Antonio +2 more
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Eksis: Jurnal Riset Ekonomi dan Bisnis, 2021 The stock market is continuously changing with uncertainties that can create risks. Prompt information dissemination and rapid capital flow will cause stock price fluctuations, causing volatility in stock prices.
Faizul Mubarok, Eni Sutrieni
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Journal of Business & Economic StatisticsWe introduce a novel multivariate GARCH model with flexible convolution-t distributions that is applicable in high-dimensional systems. The model is called Cluster GARCH because it can accommodate cluster structures in the conditional correlation matrix and in tail dependencies.
Chen Tong +2 more
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Calendar Anomalies: A Case Study of the Vietnam’s Stock Market [PDF]
International Journal of Management, Accounting and Economics, 2023 This study empirically investigated the existence of Calendar effects by using closing daily data for the Vietnam index (VN-index) before and during the Covid-19 pandemic.
Hoang Thi Du, Nguyen Xuan Tho
doaj
MODEL VOLATILITAS SAHAM LQ45 DENGAN PENDEKATAN MARKOV-SWITCHING GARCH
Jurnal Lebesgue, 2023 Financial markets have an important role in the economy of a country including Indonesia. One of the activities chosen by investors in the financial market is investing.
Ermanely Ermanely +2 more
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Dynamic Conditional Eigenvalue GARCH [PDF]
SSRN Electronic Journal, 2019 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Rahbek, Anders +2 more
openaire +4 more sources
OIL AND GOLD PRICE VOLATILITY ON INDONESIAN STOCK MARKET IN THE PERIOD OF COVID-19 PANDEMIC
Jurnal Manajemen dan Wirausaha, 2021 The study aimed to analyze the effects of oil and gold price volatility on stock returns in Indonesia by comparing the period before and during the Covid-19 pandemic.
Maria Magdalena Marwanti, Robiyanto
doaj +1 more source