Results 11 to 20 of about 3,197 (255)
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
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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
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Multivariate GARCH Models: A Survey [PDF]
Journal of Applied Econometrics, 2003 This paper surveys the most important developments in multivariate ARCH-type modelling. It reviews the model specifications, the inference methods, and the main areas of application of these models in financial econometrics.
Luc Bauwens +2 more
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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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A Copula-Garch Modelcopula-Garch Model [PDF]
Economic Research-Ekonomska Istraživanja, 2010 AbstractIn the present study we develop a new two-dimensional Copula-GARCH model. This type of two-dimensional process is characterized by a dependency structure modeled using a copula function. For the marginal densities we employ a GARCH(1,1) model with innovations drawn from a t-Student distribution.
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Modeling crude oil price volatility in Nigeria: using GARCH (1,1), EGARCH (1,1), and GJR-GARCH (1,1) models [PDF]
مجلة العلوم التجارية والبيئيةThis study investigates the performance of various GARCH models for volatility forecasting, focusing on the GARCH (1,1), EGARCH (1,1), and GJR-GARCH (1,1) frameworks, each tested with normal and Student’s t-distributions.
Frederick A. Omoruyi +2 more
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