Results 11 to 20 of about 51,403 (193)
Regime switching GARCH models [PDF]
SSRN Electronic Journal, 2006 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.
Arie, PREMINGER +2 more
core +6 more sources
Multivariate GARCH Models [PDF]
SSRN Electronic Journal, 2008 This article contains a review of multivariate GARCH models. Most common GARCH models are presented and their properties considered. This also includes nonparametric and semiparametric models. Existing specification and misspecification tests are discussed.
Silvennoinen, Annastiina +1 more
openaire +5 more sources
GARCH Modeling of Cryptocurrencies [PDF]
SSRN Electronic Journal, 2017 With the exception of Bitcoin, there appears to be little or no literature on GARCH modelling of cryptocurrencies. This paper provides the first GARCH modelling of the seven most popular cryptocurrencies. Twelve GARCH models are fitted to each cryptocurrency, and their fits are assessed in terms of five criteria.
Chu, Jeffrey +3 more
openaire +2 more sources
Risks, 2023 The relevance of the development is determined by the possibility of testing a complex analytical methodology for forecasting the daily volatility of Bulgarian investment funds, which will support the investment community in making adequate investment ...
Mariana Petrova, Teodor Todorov
doaj +1 more source
Stable Mixture GARCH Models [PDF]
SSRN Electronic Journal, 2011 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Broda, Simon A +4 more
openaire +5 more sources
Comparison and Forecasting of VaR Models for Measuring Financial Risk: Evidence from China
Discrete Dynamics in Nature and Society, 2022 With increasing extremal risk, VaR has been becoming a popular methodology because it is easy to interpret and calculate. For comparing the performance of extant VaR models, this paper makes an empirical analysis of five VaR models: simple VaR, VaR based
Yuling Wang, Yunshuang Xiang, Huan Zhang
doaj +1 more source
The application of the hybrid copula-GARCH approach in the simulation of extreme discharge values
Applied Water Science, 2022 Statistical analysis and simulation of annual maximum discharge values, while considering the corresponding maximum daily rainfall, provide a comprehensive view of flood management.
Mohammad Nazeri Tahroudi +2 more
doaj +1 more source
Financial Innovation, 2021 This study investigates the impact of economic policy uncertainty (EPU) on the volatility of European Union (EU) carbon futures prices and whether it has predictive power for the volatility of carbon futures prices.
Jian Liu +3 more
doaj +1 more source
Applied Computer Science, 2023 The objective of this research was to compare the effectiveness of the GARCH method with machine learning techniques in predicting asset volatility in the main Latin American markets.
Victor CHUNG, Jenny ESPINOZA
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