Results 81 to 90 of about 14,449,980 (201)

Modelling South African Macroeconomic and Financial Time Series: A Comparative Analysis of Vector Autoregressive Moving Average and Asymmetric Generalised Autoregressive Conditional Heteroskedasticity Frameworks

Mathematics
This study examines the modelling and forecasting of South African macroeconomic and financial time series using a comparative framework based on Vector Autoregressive (VAR), Vector Autoregressive Moving Average (VARMA), and GARCH-type models.
Thatoyaone Johannes Modise, Johannes Tshepiso Tsoku, Tshegofatso Botlhoko   +2 more
doaj   +1 more source

THE ECONOMETRIC STUDY OF INFLATION VOLATILITY FROM THE PERSPECTIVE OF MONETARY POLICY OPTIMISATION [PDF]

Economica, 2019
The purpose of this research is to identify the inflation process volatility from the perspective of monetary policy decision optimisation. Following the study of the literature, the theoretical and conceptual aspects have been defined, which implies ...
Olga HINEV
doaj  

Determining the Best Arch/Garch Model and Comparing JKSE with Stock Index in Developed Countries

Journal the Winners, 2015
The slow movement of Indonesia economic growth in 2014 due to several factors, in internal factors; due to the high interest rates in Indonesia and external factors from the US which will raise the fed rate this year.
Kharisya Ayu Effendi
doaj   +1 more source

An investigation into using news analytics data in GARCH type volatility models [PDF]

, 2012
This thesis was submitted for the degree of Master of Philosophy and awarded by Brunel University.In the work we study different dynamic volatility models.
Sidorov, Sergey P
core   +4 more sources

Determining the return volatility of the Ghana stock exchange before and during the COVID-19 pandemic using the exponential GARCH model. [PDF]

SN Bus Econ, 2023
Prempeh KB, Frimpong JM, Amaning N.
europepmc   +1 more source

M-ESTIMATION IN GARCH MODELS [PDF]

Econometric Theory, 2008
This paper derives asymptotic normality of a class ofM-estimators in the generalized autoregressive conditional heteroskedastic (GARCH) model. The class of estimators includes least absolute deviation and Huber's estimator in addition to the well-known quasi maximum likelihood estimator.
openaire   +1 more source

Regime switching GARCH models [PDF]

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.
Luc, BAUWENS, Jeroen, ROMBOUTS, Arie, PREMINGER   +2 more
core  

Forecasting the weekly time-varying beta of UK firms: comparison between GARCH models vs Kalman filter method

, 2007
This paper investigates the forecasting ability of four different GARCH models and the Kalman filtermethod. The four GARCH models applied are the bivariate GARCH, BEKK GARCH, GARCH-GJRand the GARCH-X model. The paper also compares the forecasting ability
Wu, Hao, Choudhry, Taufiq
core   +1 more source

Impact of the COVID-19 pandemic on return and risk transmission between oil and precious metals: Evidence from DCC-GARCH model. [PDF]

Resour Policy, 2022
Yıldırım DÇ, Esen Ö, Ertuğrul HM.
europepmc   +1 more source

Symmetric Normal Mixture GARCH [PDF]

Normal mixture (NM) GARCH models are better able to account for leptokurtosis in financial data and offer a more intuitive and tractable framework for risk analysis and option pricing than student’s t-GARCH models.
Emese Lazar, Carol Alexandra
core