Results 31 to 40 of about 2,971 (265)

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, Farimah Jafari, Yasin Ghasemi   +2 more
doaj   +1 more source

Modeling Markov Switching ARMA-GARCH Neural Networks Models and an Application to Forecasting Stock Returns

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
doaj   +1 more source

Unfolded GARCH models [PDF]

Journal of Economic Dynamics and Control, 2015
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Liu, Xiaochun, Luger, Richard
openaire   +1 more source

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
doaj   +1 more source

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, Mohammad Masudur Rahman   +1 more
doaj   +1 more source

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, Hina Ali, Natasha Malik, Malika Liaquat   +3 more
doaj   +1 more source

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.
openaire   +1 more source

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, Agus Priyono, Bambang Susanto   +2 more
doaj   +1 more source

Forecasts of Value-at-Risk and Expected Shortfall in the Crude Oil Market: A Wavelet-Based Semiparametric Approach

Energies, 2020
We propose the use of wavelet-based semiparametric models for forecasting the value-at-risk (VaR) and expected shortfall (ES) in the crude oil market. We compared the forecast outcomes across different time scales for three semiparametric models, three ...
Lu Yang, Shigeyuki Hamori
doaj   +1 more source

Stock price prediction using combined GARCH-AI models

Scientific African
The non-linear and non-stationary nature of financial time series data poses significant challenges for standalone statistical and neural network methods.
John Kamwele Mutinda, Amos Kipkorir Langat   +1 more
doaj   +1 more source