Results 31 to 40 of about 3,197 (255)
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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Stochastic Volatility Modeling of Daily Streamflow Time Series
Water Resources Research, 2023 Under the changing climate, the natural characteristics of hydrological processes are assumed to have been intensified, and the volatility of these processes to have increased significantly.
Huimin Wang +4 more
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Enhancing the Efficiency of Time Series Forecasting by Hybrid Univariate Box Jenkins–GARCH Models [PDF]
The Egyptian Statistical JournalDue to the high non-linearity and volatility of the data, financial time series forecasting has been classified as a standard problem. The current study presents a method for modeling stationary, non-stationary, non-linear, and high volatility time ...
Mona Abdel Bary
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Multimodality in the GARCH Regression Models. [PDF]
International Journal of Forecasting, 2003 It is shown empirically that mixed autoregressive moving average regression models with generalized autoregressive conditional heteroskedasticity (Reg-ARMA-GARCH models) can have multimodality in the likelihood that is caused by a dummy variable in the conditional mean.
Jurgen Doornik, Marius Ooms
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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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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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Stable Mixture GARCH Models [PDF]
SSRN Electronic Journal, 2011 A new model class for univariate asset returns is proposed which involves the use of mixtures of stable Paretian distributions, and readily lends itself to use in a multivariate context for portfolio selection. The model nests numerous ones currently in use, and is shown to outperform all its special cases.
Broda, Simon A +4 more
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Advanced Engineering Materials, EarlyView.Building machine‐readable vocabularies for materials science is slow, expert‐driven work. This study benchmarks 13 large language models on two of its first steps: finding candidate terms in engineering articles and deciding where they belong in a class hierarchy.
Thomas Bjarsch +3 more
wiley +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
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An algorithm for nonparametric GARCH modelling [PDF]
Computational Statistics & Data Analysis, 2002 A simple iterative algorithm for nonparametric first-order GARCH modelling is proposed. This method offers an alternative to fitting one of the many different parametric GARCH specifications that have been proposed in the literature. A theoretical justification for the algorithm is provided and examples of its application to simulated data from various
Bühlmann, Peter, McNeil, Alexander J.
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