Results 11 to 20 of about 13,808,600 (300)
Multivariate GARCH Models: A Survey [PDF]
Journal of Applied Econometrics, 2003 This paper surveys the most important developments in multivariate ARCH-type modelling. It reviews the model specifications, the inference methods, and the main areas of application of these models in financial econometrics.
Luc Bauwens +2 more
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Closing the GARCH gap: Continuous time GARCH modeling [PDF]
Journal of Econometrics, 1996 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Werker, B.J.M., Drost, F.C.
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A network autoregressive model with GARCH effects and its applications.
PLoS ONE, 2021 In this study, a network autoregressive model with GARCH effects, denoted by NAR-GARCH, is proposed to depict the return dynamics of stock market indices.
Shih-Feng Huang +2 more
doaj +1 more source
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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Comparison and Forecasting of VaR Models for Measuring Financial Risk: Evidence from China
Discrete Dynamics in Nature and Society, 2022 With increasing extremal risk, VaR has been becoming a popular methodology because it is easy to interpret and calculate. For comparing the performance of extant VaR models, this paper makes an empirical analysis of five VaR models: simple VaR, VaR based
Yuling Wang, Yunshuang Xiang, Huan Zhang
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Forecasting gains by using extreme value theory with realised GARCH filter
IIMB Management Review, 2021 Early empirical evidence suggests that the realised generalised autoregressive conditional heteroskedasticity (GARCH) model provides significant forecasting gains over the standard GARCH models in volatility forecasting.
Samit Paul, Prateek Sharma
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Comparison of predicting volatility of Tehran stock index in GARCH-MIDAS approach and quantile regression [PDF]
مدلسازی اقتصادسنجی, 2023 This research is carried out to the GARCH-MIDAS model which is used with the aim of compensating for the shortcoming of conventional GARCH models; i.e., relying on symmetry in data frequency.
Mohammadreza Monjazeb +2 more
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Volatility Modeling of Emerging Foreign Exchange Market: A Case of Bangladesh [PDF]
Journal of International Logistics and Trade, 2013 This paper examined the volatility models for exchange rate return, including Random Walk model, AR model, GARCH model and extensive GARCH model, with Normal and Student-t distribution assumption as well as nonparametric specification test of these ...
Laila Arjuman Ara +1 more
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Journal of Finance and Data Science, 2016 The daily returns of four African countries' stock market indices for the period January 2, 2000, to December 31, 2014, were employed to compare the GARCH(1,1) model and a newly proposed Maximal Overlap Discreet Wavelet Transform (MODWT)-GARCH(1,1) model.
Mohd Tahir Ismail +2 more
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Negative volatility spillovers in the unrestricted ECCC-GARCH model [PDF]
, 2010 Copyright @ 2010 Cambridge University Press.This paper considers a formulation of the extended constant or time-varying conditional correlation GARCH model that allows for volatility feedback of either the positive or negative sign.
Karanasos, Menelaos +3 more
core +1 more source