Results 51 to 60 of about 51,403 (193)

Time‐varying volatility modelling of Baltic stock markets

Journal of Business Economics and Management, 2010
As time‐varying volatility has found applications in roughly all time series modelling in economics, it largely draws attention in the areas of financial markets.
Bora Aktan, Renata Korsakienė, Rasa Smaliukienė   +2 more
doaj   +1 more source

Threshold Network GARCH Model

Journal of Time Series Analysis
Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model and its variations have been widely adopted in the study of financial volatilities, while the extension of GARCH‐type models to high‐dimensional data is always difficult because of over‐parameterization and computational complexity. In this article, we propose a multi‐variate GARCH‐
Yue Pan, Jiazhu Pan
openaire   +3 more sources

Impact Of Structural Shifts on Variance Persistence in Asymmetric Garch Models: Evidence From Emerging Asian and European Markets [PDF]

Revista Română de Statistică, 2015
In this study we examined the effect of structural break points in conditional volatility on variance persistency of asymmetric GARCH models. We used Bai and Perron methodology to detect structural break points in conditional variance of daily stock ...
Altaf Muhammad, Zhang Shuguang
doaj  

Bayesian semiparametric multivariate GARCH modeling [PDF]

Journal of Econometrics, 2012
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Mark J. Jensen, John M. Maheu
openaire   +4 more sources

Ainda os modelos GARCH

Economia Aplicada, 2002
This article summarizes the huge literature on GARCH Models. It is a survey on this subject to spread those models throughout the Portuguese readers.
Rodrigo De Losso da Silveira Bueno
doaj  

Forecasting the time-varying beta of UK firms: GARCH models vs Kalman filter method

, 2007
This paper forecast the weekly time-varying beta of 20 UK firms by means of four different GARCH models and the Kalman filter method. The four GARCH models applied are the bivariate GARCH, BEKK GARCH, GARCH-GJR and the GARCH-X model.
Choudhry, Taufiq, Wu, Hao
core  

GARCH-Type Models on the Volatility of Indonesian Cocoa’s Spot Price Returns

Jurnal Manajemen dan Wirausaha, 2011
Cocoa plays an important role in generating Indonesian foreign exchange revenues since it is one of Indonesia’s primary commodity exports. Meanwhile, as part of plantation commodity, cocoa’s price also has volatility nature.
Saarce Elsye Hatane
doaj  

Modeling and Forecasting Volatility of the Malaysian and the Singaporean stock indices using Asymmetric GARCH models and Non-normal Densities [PDF]

This paper examines and estimate the three GARCH(1,1) models (GARCH, EGARCH and GJR-GARCH) using the daily price data. Two Asian stock indices KLCI and STI are studied using daily data over a 14-years period.
Abu Hassan, Ahmed Shamiri
core  

Evaluation of Hedge Fund Returns Value at Risk Using GARCH Models [PDF]

The aim of this research paper is to evaluate hedge fund returns Value-at-Risk by using GARCH models. To perform the empirical analysis, one uses the HFRX daily performance hedge fund strategy subindexes and spans the period March 2003 – March 2008.
Sabrina Khanniche
core  

Have Exchange Rates Become More Closely Tied? Evidence from a New Multivariate GARCH Model [PDF]

We analyze the time-dependence of exchange rate correlations using a new multivariate GARCH model. This model consists of two parts. First, we transform the exchange rate changes into their principal components and specify univariate GARCH models for all
Klaassen, F.J.G.M.
core   +1 more source