Results 101 to 110 of about 14,449,980 (201)
Multimodality and the GARCH Likelihood [PDF]
We investigate several aspects of GARCH models which are relevant for empirical applications. In particular, we note that the inclusion of a dummy variable as regressor can lead to multimodality in the GARCH likelihood.
Jurgen A. Doornik, Marius Ooms
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Exact Maximum Likelihood estimation for the BL-GARCH model under elliptical distributed innovations [PDF]
In this paper, we discuss the class of Bilinear GATRCH (BL-GARCH) models which are capable of capturing simultaneously two key properties of non-linear time series : volatility clustering and leverage effects. It has been observed often that the marginal
Dominique Guegan +2 more
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Crisis, Value at Risk, and Conditional Extreme Value Theory via Garch-Jump Model
, 2010 This study develops a new conditional extreme value theory-based model (EVT) combined with the GARCH-Jump model to forecast extreme risks. This paper utilizes the GARCH-Jump model to asymmetrically feed back the past realization of jump innovation to the
Ze-To, S.
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The Continuous Limit of GARCH Processess [PDF]
Contrary to popular belief, the diffusion limit of a GARCH variance process is not a diffusion model unless one makes a very specific assumption that cannot be generalized.
Emese Lazar, Carol Alexandra
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International Journal of Mathematics and Mathematical SciencesStock price forecasting is complex due to the nonlinear and nonstationary nature of financial time series. This study proposes a hybrid variational mode decomposition (VMD)–generalized autoregressive conditional heteroskedasticity (GARCH)–long short-term
John Kamwele Mutinda +2 more
doaj +1 more source
Asymptotic Theory for a Vector ARMA-GARCH Model, [PDF]
This paper investigates the asymptotic theory for a vector ARMA-GARCH model. The conditions for the strict stationarity, ergodicity, and the higherorder moments of the model are established.
Michael McAleer, Shiqing Ling
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From Discrete to Continuous: Modeling Volatility of the Istanbul Stock Exchange Market with GARCH and COGARCH [PDF]
The objective of this paper is to model the volatility of Istanbul Stock Exchange market, ISE100 Index by ARMA and GARCH models and then take a step further into the analysis from discrete modeling to continuous modeling.
Yildirim, Yavuz, Unal, Gazanfer
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Selection of the Informative Base in ARMA-GARCH Models [PDF]
In this paper we consider the selection of the information set in ARMA-GARCH models using the methodology proposed in Muñoz et al. (2001) based on ideas of Phillips (1996). To that end, we analyse the performance of some selection criteria asymptotically
Laura Muñoz +2 more
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