Results 61 to 70 of about 51,403 (193)
A Survey of Recent Theoretical Results for Time Series Models with GARCH Errors, [PDF]
This paper provides a review of some recent theoretical results for time series models with GARCH errors, and is directed towards practitioners. Starting with the simple ARCH model and proceeding to the GARCH model, some results for stationary and ...
Michael McAleer, Shiqing Ling, W. K. Li
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PERAMALAN VOLATILITAS SAHAM MENGGUNAKAN MODEL EXPONENTIAL GARCH DAN THRESHOLD GARCH
E-Jurnal Matematika, 2019 In financial data there is asymmetric volatility, which denotes the different movements on conditional volatility of increase and decrease financial asset returns.
SITI RAHAYU NINGSIH +2 more
doaj +1 more source
MODELING INDONESIAN LQ45 STOCK MARKET INDEX VOLATILITY (APPLICATION OF GARCH AND BAYESIAN GARCH) [PDF]
, 2009 A comparative study has been conducted to examine the performance of the GARCH (Generalized Autoregressive Conditional Heteroscedasticity) model and Bayesian GARCH applied to the daily LQ45 stock market index of the Indonesian Stock Exchange, where the ...
Hadiyat, Mochammad Arbi
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RisksThe Value-at-Risk (VaR) metric serves as a pivotal tool for quantifying market risk, offering an estimation of potential investment losses. Predominantly employed within financial sectors, it aids in adhering to regulatory mandates and in devising ...
Danai Likitratcharoen +1 more
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GARCHNet: Value-at-Risk Forecasting with GARCH Models Based on Neural Networks. [PDF]
Comput Econ, 2023 Buczynski M, Chlebus M.
europepmc +1 more source
Evaluating exponential GARCH models [PDF]
In this paper, a unified framework for testing the adequancy of an estimated EGARCH model is presented. The tests are Lagrange multiplier or Lagrange multiplier type tests and include testing an EGARCH model against a higher-order one and testing ...
Malmsten, Hans
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On the stationarity of Dynamic Conditional Correlation models [PDF]
, 2016 We provide conditions for the existence and the unicity of strictly stationary solutions of the usual Dynamic Conditional Correlation GARCH models (DCC-GARCH).
Fermanian, Jean-David, Malongo, Hassan
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Outlier detection in GARCH models [PDF]
, 2005 We present a new procedure for detecting multiple additive outliers in GARCH(1,1) models at unknown dates. The outlier candidates are the observations with the largest standardized residual. First, a likelihood-ratio based test determines the presence and timing of an outlier.
Jurgen A. Doornik, Marius Ooms
openaire +5 more sources
Forecasting interest rates: A Comparative assessment of some second generation non-linear model [PDF]
Modelling and forecasting of interest rates has traditionally proceeded in the framework of linear stationary models such as ARMA and VAR, but only with moderate success.
Dilip M. Nachane, Jose G. Clavel
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Forecasting volatility with component conditional autoregressive range model [PDF]
فصلنامه بورس اوراق بهادارThe purpose of this research is to achieve a suitable model for forecasting volatility of a broad market index. In this paper the CCARR model is proposed for forecasting volatility and its estimation results are compared with the popular GARCH, CGARCH ...
MohammadMahdi Bahrololoum +2 more
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