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Estimation and tests for power-transformed and threshold GARCH models [PDF]
, 2008 Consider a class of power transformed and threshold GARCH(p,q) (PTTGRACH(p,q)) model, which is a natural generalization of power-transformed and threshold GARCH(1,1) model in Hwang and Basawa (2004) and includes the standard GARCH model and many other ...
Tong, H., Wang, H., Pan, J.
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A note on GARCH model identification
Computers & Mathematics with Applications, 2008 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Melody Ghahramani, A. Thavaneswaran
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A multivariate generalized independent factor GARCH model with an application to financial stock returns [PDF]
, 2008 We propose a new multivariate factor GARCH model, the GICA-GARCH model , where the data are assumed to be generated by a set of independent components (ICs).
García-Ferrer, Antonio +2 more
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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
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Stock Market Risk Measurement Method Based on Improved Genetic Algorithm
Chemical Engineering Transactions, 2016 In this paper, we concentrate on the problem of stock market risk measurement, which is of great importance for the healthy development of the stock market.
B.Q. Zhang
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Business Systems Research, 2013 Background: In light of the latest global financial crisis and the ongoing sovereign debt crisis, accurate measuring of market losses has become a very current issue. One of the most popular risk measures is Value-at-Risk (VaR). Objectives: Our paper has
Bucevska Vesna
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Structural nonlinear damage identification using penalty conversion index of GARCH model
Advances in Mechanical Engineering, 2020 In the service period, some engineering structures may have cracks or other nonlinear damages. The nonlinear damages are the major influence to the safety of engineering structures, which should be detected as early as possible.
Hui-Yong Guo, Heng Zuo
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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
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Multimodality in the GARCH Regression Models. [PDF]
International Journal of Forecasting, 2003 It is shown empirically that mixed autoregressive moving average regression models with generalized autoregressive conditional heteroskedasticity (Reg-ARMA-GARCH models) can have multimodality in the likelihood that is caused by a dummy variable in the conditional mean.
Jurgen Doornik, Marius Ooms
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Penggunaan MS Excel untuk Estimasi Model GARCH(1,1)
Jurnal Matematika Integratif, 2019 Permasalahan umum yang sering dijumpai dalam banyak studi keuangan yaitu volatilitas tak konstan untuk \emph{return} aset. Suatu pendekatan untuk memodelkan runtun waktu keuangan dengan heteroskedastisitas pada \emph{return} aset yaitu model GARCH. Studi
Didit Budi Nugroho +2 more
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