Results 31 to 40 of about 51,403 (193)
Collateralised option pricing in a South African context: A Univariate GARCH approach
Cogent Economics & Finance, 2022 In this paper, the generalised autoregressive heteroskedasticity (GARCH) model is applied to the pricing of collateralised options in the South African equity market. Symmetric GARCH and nonlinear asymmetric GARCH (AGARCH) models are considered.
Pierre J Venter +2 more
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Comparison of predicting volatility of Tehran stock index in GARCH-MIDAS approach and quantile regression [PDF]
مدلسازی اقتصادسنجی, 2023 This research is carried out to the GARCH-MIDAS model which is used with the aim of compensating for the shortcoming of conventional GARCH models; i.e., relying on symmetry in data frequency.
Mohammadreza Monjazeb +2 more
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The Scientific World Journal, 2014 The study has two aims. The first aim is to propose a family of nonlinear GARCH models that incorporate fractional integration and asymmetric power properties to MS-GARCH processes.
Melike Bildirici, Özgür Ersin
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Journal of Economic Dynamics and Control, 2015 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Liu, Xiaochun, Luger, Richard
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Mathematics, 2023 Forecasting stock markets is an important challenge due to leptokurtic distributions with heavy tails due to uncertainties in markets, economies, and political fluctuations.
Özgür Ömer Ersin, Melike Bildirici
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Forecasting the Volatility of the Cryptocurrency Market by GARCH and Stochastic Volatility
Mathematics, 2021 This study examines the volatility of nine leading cryptocurrencies by market capitalization—Bitcoin, XRP, Ethereum, Bitcoin Cash, Stellar, Litecoin, TRON, Cardano, and IOTA-by using a Bayesian Stochastic Volatility (SV) model and several GARCH models ...
Jong-Min Kim, Chulhee Jun, Junyoup Lee
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Forecasting Inflation Applying ARIMA Model with GARCH Innovation: The Case of Pakistan
Journal of Accounting and Finance in Emerging Economies, 2021 Purpose: The research aims to build a suitable model for the conditional mean and conditional variance for forecasting the rate of inflation in Pakistan by summarizing the properties of the series and characterizing its salient features.
Tahira Bano Qasim +3 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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Volatility Modeling of Emerging Foreign Exchange Market: A Case of Bangladesh [PDF]
Journal of International Logistics and Trade, 2013 This paper examined the volatility models for exchange rate return, including Random Walk model, AR model, GARCH model and extensive GARCH model, with Normal and Student-t distribution assumption as well as nonparametric specification test of these ...
Laila Arjuman Ara +1 more
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SKEW NORMAL AND SKEW STUDENT-T DISTRIBUTIONS ON GARCH(1,1) MODEL
Media Statistika, 2021 The Generalized AutoRegressive Conditional Heteroskedasticity (GARCH) type models have become important tools in financial application since their ability to estimate the volatility of financial time series data.
Didit Budi Nugroho +2 more
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