Short-term effect of COVID-19 pandemic on cryptocurrency markets: A DCC-GARCH model analysis. [PDF]
Heliyon, 2023 Ben-Ahmed K, Theiri S, Kasraoui N.
europepmc +1 more source
Overestimation in the Traditional GARCH Model During Jump Periods [PDF]
The traditional continuous and smooth models, like the GARCH model, may fail to capture extreme returns volatility. Therefore, this study applies the bivariate poisson (CBP)-GARCH model to study jump dynamics in price volatility of crude oil and heating ...
Wan-Hsiu Cheng
core
Forecasting the time-varying beta of UK firms: GARCH models vs Kalman filter method
, 2007 This paper forecast the weekly time-varying beta of 20 UK firms by means of four different GARCH models and the Kalman filter method. The four GARCH models applied are the bivariate GARCH, BEKK GARCH, GARCH-GJR and the GARCH-X model.
Wu, Hao, Choudhry, Taufiq
core +1 more source
GARCH Model IBM Stock Forecasting of Price Volatility
International Journal of Electronics and Communications SystemRisk and volatility are two related factors in research regarding capital markets. Many factors influence the movement of shares and indices. Volatility is common and affects risk assessment. Stock price volatility is an important aspect of understanding
Balqis Dwian Fitri Zamzami +5 more
doaj +1 more source
A Height Nonlinear Velocity Field Algorithm for CORS Station Based on GARCH Model. [PDF]
Sensors (Basel), 2022 Zhang H, Liu H, Cui D, Zhang F.
europepmc +1 more source
Volatilitenin Modellenmesi: Nasdaq 100 Endeksi Örneği
Uluslararası Ekonomi, İşletme ve Politika DergisiBu çalışmada ABD’de teknoloji ağırlıklı firmalardan oluşan Nasdaq 100 endeksinin volatilitesinin tahmini ve modellenmesinin gerçekleştirilmesi amaçlanmaktadır.
Mehmet Erkan Soykan
doaj +1 more source
An empirical investigation of investor sentiment and volatility of realty sector market in India: an application of the DCC-GARCH model. [PDF]
SN Bus Econ, 2023 Pillada N, Rangasamy S.
europepmc +1 more source
Empirical performance of GARCH, GARCH-M, GJR-GARCH and log-GARCH models for returns volatility
Journal of Physics: Conference Series, 2019 Abstract Volatility plays an important role in the field of financial econometrics as one of the risk indicators. Many various models address the problem of modeling the volatilities of financial asset returns. This study provides a new empirical performance comparison of the four different GARCH-type models, namely GARCH, GARCH-M, GJR ...
D B Nugroho +5 more
openaire +1 more source
Day-of-the-week and month-of-the-year effects on French Small-Cap Volatility: the role of asymmetry and long memory [PDF]
Eastern Journal of European Studies, 2019 Small-cap stocks are characterized by high volatility and offer investors the opportunity to earn higher returns. This paper empirically investigates the impact of the day-of-the-week and the month-of-the year effects on the volatility of daily and ...
Mohamed CHIKHI +2 more
doaj
A Multivariate Generalized Orthogonal Factor GARCH Model [PDF]
The paper studies a factor GARCH model and develops test procedures which can be used to test the number of factors needed to model the conditional heteroskedasticity in the considered time series vector.
Saikkonen, Pentti, Lanne, Markku
core