Dynamical Approach in studying GJR-GARCH (Q,P) Models with Application
Tikrit Journal of Pure Science, 2022 This paper deals with finding stationarity Condition of GJR-GARCH(Q,P) model by using a local linearization technique in order to reduce this non-linear model to a linear difference equation with constant coefficients and then obtain the stationarity ...
Nooruldeen A. Noori, Azher A. Mohammad
doaj +2 more sources
Estimasi Nilai AVaR Menggunakan Model GJR dan Model GARCH
Jurnal Matematika, 2015 Dalam pemodelan harga saham, sering dihadapkan pada suatu pertanyaan, apakah model GARCH atau GJR yang lebih tepat merepresentasikan pergerakan harga saham?
Komang Dharmawan
doaj +2 more sources
Screening for dual-target enzyme inhibitors derived from Gardenia jasminoides roots, a medicinal and edible plant: investigation of their potential anti-dementia activity [PDF]
Frontiers in NutritionIntroductionGardenia jasminoides root (GJR) is a traditional Chinese plant valued for its dual functions as both a medicinal herb and an edible resource.
Xuanlin Liu +8 more
doaj +2 more sources
Improvement of Real-GJR Model using Jump Variables on High Frequency Data
JTAM (Jurnal Teori dan Aplikasi Matematika)Volatility is a key indicator in assessing risk when making investment decisions. In the world of financial markets, volatility reflects the degree to which the value of a financial asset fluctuates over a given period. The most common way to measure the
Didit Budi Nugroho +5 more
doaj +2 more sources
GJR-GARCH Volatility Modeling under NIG and ANN for Predicting Top Cryptocurrencies [PDF]
Journal of Risk and Financial Management, 2021 Cryptocurrencies are currently traded worldwide, with hundreds of different currencies in existence and even more on the way. This study implements some statistical and machine learning approaches for cryptocurrency investments. First, we implement GJR-GARCH over the GARCH model to estimate the volatility of ten popular cryptocurrencies based on market
Fahad Mostafa +3 more
openaire +2 more sources
Analytic moments for GJR-GARCH (1, 1) processes
International Journal of Forecasting, 2021 For a GJR-GARCH(1,1) specification with a generic innovation distribution we derive analytic expressions for the first four conditional moments of the forward and aggregated returns and variances. Moments for the most commonly used GARCH models are stated as special cases.
Alexander, Carol +2 more
openaire +1 more source
Economic Journal of Emerging Markets, 2011 This study investigates the international price relationship and volatility transmissions between stock index and stock index futures of Malaysia, Hong Kong and Japan. Vector Autoregression (VAR) GJR-GARCH model was applied to the nine years daily price.
ArIsmail bin Ahmad +1 more
doaj +9 more sources
Estimating Value at Risk of Portfolio of Oil and Gold by Copula-GARCH Method [PDF]
تحقیقات مالی, 2014 Copula functions are powerful tools that describe dependence structure of multi- dimension random variables and are considered as one of the newest tools for risk management.
Saeed Fallahpour, Ehsan Ahmadi
doaj +1 more source
Volatility regimes of selected central European stock returns: a Markov switching GARCH approach
Journal of Business Economics and Management, 2022 This paper investigates the weekly stock market data of the Hungarian stock index BUX, the Czech stock index PX and the Polish stock index WIG20 spanning from January 7, 2001 to April 18, 2021.
Michaela Chocholatá
doaj +1 more source
ESTIMASI CVAR PADA PORTOFOLIO SAHAM MENGGUNAKAN METODE GJR-EVT DENGAN PENDEKATAN D-VINE COPULA
E-Jurnal Matematika, 2022 Risk measure using Conditional Value at Risk can be calculate if values that exceeds the p-quantile is known in VaR. The models used to accommodate characteristics of the stock portfolio in this research are EVT-GARCH-D-vine copula and EVT-GJR-D-vine ...
DERY MAULANA +2 more
doaj +1 more source