Results 91 to 100 of about 14,449,980 (201)

A multivariate realized GARCH model

Journal of Econometrics
We propose a novel class of multivariate GARCH models that incorporate realized measures of volatility and correlations. The key innovation is an unconstrained vector parametrization of the conditional correlation matrix, which enables the use of factor models for correlations.
Archakov, Ilya, Hansen, Peter Reinhard, Lunde, Asger   +2 more
openaire   +2 more sources

The impact of crude oil prices on Chinese stock markets and selected sectors: evidence from the VAR-DCC-GARCH model. [PDF]

Environ Sci Pollut Res Int, 2022
Hashmi SM, Ahmed F, Alhayki Z, Syed AA.
europepmc   +1 more source

An Introduction to Univariate GARCH Models [PDF]

, 2009
This paper contains a survey of univariate models of conditional heteroskedasticity. The classical ARCH model is mentioned, and various extensions of the standard Generalized ARCH model are highlighted. This includes the Exponential GARCH model. Stochastic volatility models remain outside this review.
openaire   +2 more sources

Asymmetric Multivariate Normal Mixture GARCH [PDF]

An asymmetric multivariate generalization of the recently proposed class of normal mixture GARCH models is developed. Issues of parametrization and estimation are discussed.
Markus Haas, Stefan Mittnik, Mark S. Paolella   +2 more
core  

Pricing bivariate option under GARCH-GH model with dynamic copula: application for Chinese market [PDF]

This paper develops the method for pricing bivariate contingent claims under General Autoregressive Conditionally Heteroskedastic (GARCH) process. In order to provide a general framework being able to accommodate skewness, leptokurtosis, fat tails as ...
Dominique Guegan, Jing Zhang
core  

GAS or GARCH: A comparison of density and VaR forecasts in Turkish FX and stock markets

Istanbul Business Research
This paper compares the renowned GARCH model with a novel one, the Generalized Autoregressive Score (GAS) model in terms of forecasting performance. Considering the gap in the literature, this study focuses on the Turkish stock and FX markets.
Ali Ulvi Özgül
doaj   +1 more source

Accurate Value-at-Risk Forecast with the (good old) Normal-GARCH Model [PDF]

A resampling method based on the bootstrap and a bias-correction step is developed for improving the Value-at-Risk (VaR) forecasting ability of the normal-GARCH model.
Stefan Mittnik, Marc S. Paolella, Christoph Hartz   +2 more
core  

BAYESIAN ESTIMATION OF THE GAUSSIAN MIXTURE GARCH MODEL [PDF]

In this paper, we perform Bayesian inference and prediction for a GARCH model where the innovations are assumed to follow a mixture of two Gaussian distributions.
María Concepcion Ausin, Pedro Galeano
core  

Food Price Volatility and Asymmetries in Rural Areas of South Mediterranean Countries: A Copula-Based GARCH Model. [PDF]

Int J Environ Res Public Health, 2020
Capitanio F, Rivieccio G, Adinolfi F.
europepmc   +1 more source

A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns [PDF]

In this paper we consider a GARCH-in-Mean (GARCH-M) model based on the so-called z distribution. This distribution is capable of modeling moderate skewness and kurtosis typically encountered in financial return series, and the need to allow for skewness ...
Markku Lanne, Pentti Saikkonen
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