, 2007 This paper investigates the forecasting ability of four different GARCH models and the Kalman filtermethod. The four GARCH models applied are the bivariate GARCH, BEKK GARCH, GARCH-GJRand the GARCH-X model. The paper also compares the forecasting ability
Wu, Hao, Choudhry, Taufiq
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MathematicsThis study examines the modelling and forecasting of South African macroeconomic and financial time series using a comparative framework based on Vector Autoregressive (VAR), Vector Autoregressive Moving Average (VARMA), and GARCH-type models.
Thatoyaone Johannes Modise +2 more
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Option Pricing Using Modification of Black Scholes Merton Model with GJR-GARCH
CAUCHY: Jurnal Matematika Murni dan AplikasiOption pricing is an important topic in modern finance as it plays a role in investment strategy and risk management. The Black-Scholes-Merton (BSM) model introduced in 1973has become the standard in option pricing, but the assumption of constant volatility and symmetry makes this model often less suitable for volatile and asymmetric market conditions.
Fatimah Oktaviani, Emy Siswanah
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Pemodelan GJR-Garch menggunakan Metode Quasi Maximum Likelihood: Studi kasus pada data harga saham Jakarta Islamic Index [PDF]
, 2020 This research implements the GJR-GARCH model withtheQuasi Maximum Likelihood method on the daily stock price closing data of the Jakarta Islamic Index (JII) from January 2019 until February 2020 period.
Kurniati, Hernita Eka
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Estimateur de Quasi Maximum de vraisemblance pour le model GJR-GARCH avec bruit N(1,1)
, 2021 In this dissertation, We study the quasi-maximum likelihood estimator of a GJR-GARCH process with N(1,1) noise. For this, we start with a general overview on the basics and definitions (stochastic process, Normal law, GJR-GARCH process,...).
Amina, Boulaiche, Djamaa Waim
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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
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Hedging performance for BRICS futures : a copula-based GJR-GARCH model
, 2014 碩士金磚五國(BRICS)在近幾年憑藉天然資源、勞動人力等優勢，已成全球經濟增長的重要源頭。與五國市場相關的衍生性商品受到投資人的青睞，其中，金磚五國的交易所推出的股價指數期貨，提供了股票持有人一個良好的避險工具，如何進行有效的避險，為本文研究探討的重點。 本文現貨與期貨的研究資料使用巴西IBOVESPA指數、俄羅斯RTS指數、印度S&P CNX NIFTY指數、中國CSI300指數以及南非FTSE/JSE Shareholder Weighted Top40 指數。本文主要採用Copula-based
柯星妤; Ke, Hsing-Yu
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The Month-of-the-year Effect: Evidence from GARCH models in Fifty Five Stock Markets [PDF]
This paper studies the month of the year effect, where January effect presents positive and the highest returns of the other months of the year. In order to investigate the specific calendar effect in global level, fifty five stock market indices from ...
Giovanis, Eleftherios
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Estimating and Forecasting Volatility of Financial Time Series in Pakistan with GARCH-type Models
Lahore Journal of EconomicsIn this paper we compare the performance of different GARCH models such as GARCH, EGARCH, GJR and APARCH models, to characterize and forecast financial time series volatility in Pakistan.
G.R. Pasha, Tahira Qasim, Muhammad Aslam
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Empirical analysis of stock asymmetric volatility based on EGARCH and GJR-GARCH model [PDF]
, 2014 학위논문 (석사)-- 서울대학교 대학원 : 통계학과, 2014. 2. 임요한.This paper investigate the time series behavior of stock returns for KOSDAQ, KOSPI daily index. The Volatility effects in financial time series vary according to the signs of the return rates.
정현석
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