Results 21 to 30 of about 14,449,980 (201)
Regime Switching GARCH Models [PDF]
, 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.
Bauwens, Luc +2 more
openaire +5 more sources
GARCH models without positivity constraints: Exponential or log GARCH? [PDF]
Journal of Econometrics, 2013 This paper provides a probabilistic and statistical comparison of the log-GARCH and EGARCH models, which both rely on multiplicative volatility dynamics without positivity constraints. We compare the main probabilistic properties (strict stationarity, existence of moments, tails) of the EGARCH model, which are already known, with those of an asymmetric
Francq, Christian +2 more
openaire +4 more sources
Modeling crude oil price volatility in Nigeria: using GARCH (1,1), EGARCH (1,1), and GJR-GARCH (1,1) models [PDF]
مجلة العلوم التجارية والبيئيةThis study investigates the performance of various GARCH models for volatility forecasting, focusing on the GARCH (1,1), EGARCH (1,1), and GJR-GARCH (1,1) frameworks, each tested with normal and Student’s t-distributions.
Frederick A. Omoruyi +2 more
doaj +1 more source
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
doaj +1 more source
Comparing GARCH Models by Introducing Fuzzy Asymmetric Realized GARCH [PDF]
مدلسازی اقتصادسنجی, 2018 Estimation of conditional variance has lots of application reflecting economic, especially financial economics, social economics and political economics’ risk and volatility research.
Esmaiel Abounoori, Mohammad Amin Zabol
doaj +1 more source
Forecasting Inflation Applying ARIMA Model with GARCH Innovation: The Case of Pakistan
Journal of Accounting and Finance in Emerging Economies, 2021 Purpose: The research aims to build a suitable model for the conditional mean and conditional variance for forecasting the rate of inflation in Pakistan by summarizing the properties of the series and characterizing its salient features.
Tahira Bano Qasim +3 more
doaj +1 more source
Policy uncertainty, geopolitical risks and China’s carbon neutralization
Carbon Management, 2023 In the present study, it was explored how the volatility of the carbon neutrality concept index (CNCI) was affected by China economic policy uncertainty (CEPU) index, climate policy uncertainty (CPU) index, and geopolitical risk (GPR) index. According to
Liping Liu, Zheng Lü
doaj +1 more source
Modeling time-varying coffee price volatility in Ethiopia
Journal of Applied Economics, 2020 Recently, modeling and forecasting of high-frequency data (such as daily price) volatility using GARCH-MIDAS attract the attention of many researchers. Thus, the objective of this study is to model the average daily coffee price volatility from 1 January
Teshome Hailemeskel Abebe
doaj +1 more source
Nonlinear AnalysisVolatility is a key measure of financial risk, and GARCH models are widely used to describe its dynamics. However, they do not account for the influence of news sentiment, which can significantly shape market volatility. Recently proposed News-Augmented
Diana Vereškaitė +2 more
doaj +1 more source
APLIKACE ARMA A GARCH MODELŮ NA ČASOVÉ ŘADĚ AKCIÍ KOMERČNÍ BANKY [PDF]
ACC Journal, 2020 Jedním z hlavních cílů subjektů na trhu cenných papírů je ve správný okamžik akcie levně nakoupit (nakoupit podhodnocené akcie) a rovněž ve správný okamžik akcie draze prodat (prodat nadhodnocené akcie).
Sedláková Markéta
doaj +1 more source