Results 1 to 10 of about 3,767 (166)
New practice for investors in Chinese stock market: From perspective of fractionally integrated realized GARCH model [PDF]
Heliyon, 2023 In this paper, based on the Realized GARCH model, the fractional integration Realized GARCH model is proposed by combining long memory parameters with conditional variance and replacing the original realized measure with the realized measure obtained ...
Mei Xiao +4 more
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Reviews of Management Sciences, 2022 Purpose: The purpose of this paper is to predict the volatility of the KSE-100 index using econometric and machine learning models. It also designs hybrid models for volatility forecasting by combining these two models in three different ways ...
Komal Batool +2 more
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Predicting daily streamflow with a novel multi-regime switching ARIMA-MS-GARCH model
Journal of Hydrology: Regional Studies, 2023 Study region: Weihe River Basin of China Study focus: In recent decades, changing environments destroyed the natural structure of streamflow, making accurate streamflow prediction challenging.
Huimin Wang +3 more
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Modeling the volatility of Bitcoin returns using Nonparametric GARCH models
Academic Finance, 2022 Objective: The purpose of this paper is to demonstrate the effectiveness of the nonparametric GARCH model for the prediction of future Bitcoin prices. Methodology: The parametric GARCH models to characterize the volatility of Bitcoin returns are ...
Sami MESTIRI
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Risks, 2023 Cryptocurrencies have increasingly attracted the attention of several players interested in crypto assets. Their rapid growth and dynamic nature require robust methods for modeling their volatility.
Rhenan G. S. Queiroz, Sergio A. David
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Portfolio optimization using modified Markowitz model based on CO-GARCH modeling compared to the market [PDF]
اقتصاد باثبات, 2022 Portfolio optimization and deciding which stocks deserve to be included in the investment portfolio and how to allocate capital are complex issues. Theoretically, the selection of the stock portfolio in the case of risk minimization can be solved Using ...
Fahime Jahanian +3 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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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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Estimation of value at risk (VaR) index of mobarakeh steel company using two-sided lomax GARCH model [PDF]
تصمیم گیری و تحقیق در عملیات, 2022 Purpose: We have introduced the two-sided Lomax-GARCH (TSLx-GARCH) model. We have used this model to create a more realistic value-at-risk value index than other distributions for all confidence levels. We find this index for applied data.Methodology: In
Rasool Roozegar, Samane Arkia
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Hybrid Model for Stock Market Volatility
Journal of Probability and Statistics, 2023 Empirical evidence suggests that the traditional GARCH-type models are unable to accurately estimate the volatility of financial markets. To improve on the accuracy of the traditional GARCH-type models, a hybrid model (BSGARCH (1, 1)) that combines the ...
Kofi Agyarko +2 more
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