Results 91 to 100 of about 51,403 (193)

Target zones and conditional volatility: the role of realignments [PDF]

This paper examines the relationship between the conditional volatility of target zone exchange rates and realignments of the system. To investigate this question, modified jump diffusion Generalized Autoregressive Conditional Heteroskedasticity (GARCH ...
Christopher J. Neely
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Evaluating Portfolio Value-at-Risk using Semi-Parametric GARCH Models [PDF]

In this paper we examine the usefulness of multivariate semi-parametric GARCH models for portfolio selection under a Value-at-Risk (VaR) constraint. First, we specify and estimate several alternative multivariate GARCH models for daily returns on the S ...
Jeroen VK Rombouts, Marno Verbeek
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A general multivariate threshold GARCH model with dynamic conditional correlations [PDF]

We propose a new multivariate GARCH model with Dynamic Conditional Correlations that extends previous models by admitting multivariate thresholds in conditional volatilities and correlations.
Fabio Trojani, Francesco Audrino
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A simple efficient GMM estimator of GARCH models [PDF]

This paper is concerned with efficient GMM estimation and inference in GARCH models. Sufficient conditions for the estimator to be consistent and asymptotically normal are established for the GARCH(1,1) conditional variance process.
Skoglund, Jimmy
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Variability in Times of Disease. Application of ARMA-GARCH in Modelling and Predicting Volatility of S&P500 Index Return Rates in COVID-19

Ekonometria
Aim: The article considers the time series case of the closing prices of the S&P500 index over the period from January 2020 to April 2021. The author selected the best ARMA(p,q)-GARCH(1,1) models with different forms of probability density functions. The
Damian Wiśniewski
doaj   +1 more source

Alternative GARCH in Mean Models: An Application to the Korean Stock Market [PDF]

The purpose of this paper is the theoretical and empirical comparison of alternative GARCH-in-mean models. We examine three GARCH specifications: Bollerslev's (1986) GARCH model, Taylor (1986) - Schwert's (1989) GARCH model, and Nelson's (1991 ...
J. Kim, Menelaos Karanasos
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A multivariate realized GARCH model

Journal of Econometrics
We propose a novel class of multivariate GARCH models that incorporate realized measures of volatility and correlations. The key innovation is an unconstrained vector parametrization of the conditional correlation matrix, which enables the use of factor models for correlations.
Archakov, Ilya, Hansen, Peter Reinhard, Lunde, Asger   +2 more
openaire   +2 more sources

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.
Carol Alexandra, Emese Lazar
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Multivariate ARCH with spatial effects for stock sector and size [PDF]

This paper applies a new spatial approach for the specfication of multivariate GARCH models, called Spatial Effects in ARCH, SEARCH. We consider spatial dependence associated with industrial sectors and capitalization size.
Caporin Massimiliano, Paruolo Paolo
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Prediction intervals in conditionally heteroscedastic time series with stochastic components. [PDF]

Differencing is a very popular stationary transformation for series with stochastic trends. Moreover, when the differenced series is heteroscedastic, authors commonly model it using an ARMA-GARCH model. The corresponding ARIMA-GARCH model is then used to
Espasa, Antoni, Pellegrini, Santiago, Ruiz, Esther   +2 more
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