Results 41 to 50 of about 14,449,980 (201)
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
core +1 more source
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
doaj +1 more source
Estimating Value at Risk for Base Metals under Exchange Rate Shocks [PDF]
فصلنامه پژوهشهای اقتصادی ایران, 2014 In this paper we formulate the volatility of the Metal Index, by an ARJI-GARCH model, with reference to the effect of the volatility of dollar exchange rate. We express the jump in the dollar exchange rate by an Autoregressive Conditional Jump Intensity (
Shiva Zamani, Majid Alifar
doaj
Финансы: теория и практика, 2022 redicting currency rates is important, for everyone who is trading and trying to build an investment portfolio from a range of crypto currencies. It is not subject to the same restrictions as fiat currencies.
M. Kh. Abdalhammed +3 more
doaj +1 more source
Calculating Value at Risk: DCC-GARCH-Copula Approach [PDF]
فصلنامه پژوهشهای اقتصادی ایران, 2020 In this paper, in order to calculate portfolio market risk of 10 selected industries indices in Tehran Stock Exchange, two models of Value Risk (VaR) and Expected shortfall (ES) have been used.
Reza Taleblou, Mohammad Mahdi Davoudi
doaj +1 more source
Volatility forecasting using Double-Markov switching GARCH models under skewed Student-t distribution [PDF]
, 2012 Includes bibliographical references.This thesis focuses on forecasting the volatility of daily returns using a double Markov switching GARCH model with a skewed Student-t error distribution.
Mazviona, Batsirai Winmore
core +1 more source
Time‐varying volatility modelling of Baltic stock markets
Journal of Business Economics and Management, 2010 As time‐varying volatility has found applications in roughly all time series modelling in economics, it largely draws attention in the areas of financial markets.
Bora Aktan +2 more
doaj +1 more source
Outlier detection in GARCH models [PDF]
, 2005 We present a new procedure for detecting multiple additive outliers in GARCH(1,1) models at unknown dates. The outlier candidates are the observations with the largest standardized residual. First, a likelihood-ratio based test determines the presence and timing of an outlier.
Jurgen A. Doornik, Marius Ooms
openaire +5 more sources
Stable Mixture GARCH Models [PDF]
Journal of Econometrics, 2011 A new model class for univariate asset returns is proposed which involves the use of mixtures of stable Paretian distributions, and readily lends itself to use in a multivariate context for portfolio selection. The model nests numerous ones currently in use, and is shown to outperform all its special cases.
Broda, Simon A +4 more
openaire +5 more sources
MEASURING SYSTEMIC RISK OF CHINA'S LISTED BANKS [PDF]
Financial Studies, 2021 After the financial crisis in 2008, the world became more aware of the importance of the systemic risk. Within China’s financial system, commercial banks have a dominant position.
Ping ZHANG +3 more
doaj