Results 11 to 20 of about 3,114 (262)
Forecasting Egyptian Stock Market Volatility with Markov Regime Switching GARCH Models [PDF]
The Egyptian Statistical Journal, 2012 In the present work, GARCH models are incorporated in a regime- switching framework thatallows to take into account the existence of two different volatility regimes which characterizedby a different level of volatility.
Amaal El-Sayed Abd El-Ghany Mubarak
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GRG Non-Linear and ARWM Methods for Estimating the GARCH-M, GJR, and log-GARCH Models
JTAM (Jurnal Teori dan Aplikasi Matematika), 2022 Numerous variants of the basic Generalized Autoregressive Conditional Heteroscedasticity (GARCH) models have been proposed to provide good volatility estimating and forecasting. Most of the study does not work Excel’s Solver to estimate GARCH-type models.
Didit Budi Nugroho +5 more
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Multivariate GARCH Models: A Survey [PDF]
SSRN Electronic Journal, 2003 AbstractThis paper surveys the most important developments in multivariate ARCH‐type modelling. It reviews the model specifications and inference methods, and identifies likely directions of future research. Copyright © 2006 John Wiley & Sons, Ltd.
BAUWENS, Luc +2 more
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Modeling and Forecasting the Volatility of NIFTY 50 Using GARCH and RNN Models
Economies, 2022 The stock market is constantly shifting and full of unknowns. In India in 2000, technological advancements led to significant growth in the Indian stock market, introducing online share trading via the internet and computers.
Vanshu Mahajan +2 more
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Volatility regimes of selected central European stock returns: a Markov switching GARCH approach
Journal of Business Economics and Management, 2022 This paper investigates the weekly stock market data of the Hungarian stock index BUX, the Czech stock index PX and the Polish stock index WIG20 spanning from January 7, 2001 to April 18, 2021.
Michaela Chocholatá
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Closing the GARCH gap: Continuous time GARCH modeling [PDF]
Journal of Econometrics, 1996 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Werker, B.J.M., Drost, F.C.
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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. We provide sufficient conditions for stationarity and existence of moments.
Luc, BAUWENS +2 more
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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
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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
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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
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