Results 21 to 30 of about 16,252 (305)
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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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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Persistence and Kurtosis in GARCH and Stochastic Volatility Models [PDF]
, 2004 This article shows that the relationship between kurtosis, persistence of shocks to volatility, and first-order autocorrelation of squares is different in GARCH and ARSV models.
Ruiz Ortega, Esther +4 more
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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
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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
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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
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Hybrid Model for Stock Market Volatility
Journal of Probability and Statistics, 2023 Empirical evidence suggests that the traditional GARCH-type models are unable to accurately estimate the volatility of financial markets. To improve on the accuracy of the traditional GARCH-type models, a hybrid model (BSGARCH (1, 1)) that combines the ...
Kofi Agyarko +2 more
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Risks, 2023 Cryptocurrencies have increasingly attracted the attention of several players interested in crypto assets. Their rapid growth and dynamic nature require robust methods for modeling their volatility.
Rhenan G. S. Queiroz, Sergio A. David
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GARCH models without positivity constraints: Exponential or log GARCH? [PDF]
Journal of Econometrics, 2013 This paper provides a probabilistic and statistical comparison of the log-GARCH and EGARCH models, which both rely on multiplicative volatility dynamics without positivity constraints. We compare the main probabilistic properties (strict stationarity, existence of moments, tails) of the EGARCH model, which are already known, with those of an asymmetric
Francq, Christian +2 more
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