نمذجة السلاسل المالية باستعمال أنموذج STGARCH ومقارنته مع انموذج GJR-GARCH
مجلة الإدارة والاقتصادتعتبر السلاسل الزمنية من المواضيع الاحصائية المهمة وخاصة السلاسل المالية منها التي تتميز بالتقلبات العالية مما يعني يعني ان التباين الشرطي في هذه السلاسل غير ثابت ويعتمد على البيانات السابقة . من اهم النماذج المستعملة في نمذجة السلاسل المالية هي نماذج الانحدار الذاتي المشروطة بعدم تجانس التباين ,وقد اعتمدت هذه النماذج في الدراسات السابقة في هذا البحث
null حسين مجيد عبد علي +1 more
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Modelo Híbrido GJR-GARCH Nebuloso para a Previsão da Volatilidade em Mercados de Ações
, 2012 Forecasting stock market returns volatility is a challenging task that has attracted the attention of market practitioners, regulators and academics in recent years.
Maciel, Leandro
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, 2012 This thesis investigates the predictive power of six bivariate GARCH-CCC (constant conditional correlation) models; the GARCH (1, 1), BEKK GARCH (1, 1), GARCH-X (1, 1), BEKK-X (1, 1), GARCH-GJR (1, 1) and QGARCH (1, 1) based on both normal and student’s ...
Zhang, Yuanyuan
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South African inflation modelling using bootstrapped long short-term memory methods. [PDF]
SN Bus Econ, 2023 Kubheka S.
europepmc +1 more source
A Hybrid Fuzzy GJR-GARCH Modeling Approach for Stock Market Volatility Forecasting
, 2013 Forecasting stock market returns volatility is a challenging task that has attracted the attention of market practitioners, regulators and academics in recent years. This paper proposes a Fuzzy GJR-GARCH model to forecast the volatility of S&P 500 and Ibovespa indexes.
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Heteroskedasticity in Excess Bitcoin Return Data: Google Trend vs. GARCH Effects
Nauki o Finansach, 2019 This paper examines the mixture of distribution properties associated with heteroskedastic excess Bitcoin return data, using the volume of Google search queries as a proxy for the information arrival time, from a monthly data sampling period of June 2010
Chamil W. Senarathne, Tijana Šoja
doaj
Modelling and forecasting of Nigeria stock market volatility
Future Business JournalThis study models and forecasts the volatility of the Nigerian Stock Exchange (NSE) using advanced econometric techniques, focusing on examining the asymmetric volatility and the leverage effect. Daily data from the NSE All Share Index spanning from 30th
Olufemi Samuel Adegboyo, Kiran Sarwar
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The Equity Index Skew, Market Crashes and Asymmetric Normal Mixture GARCH [PDF]
The skewness in physical distributions of equity index returns and the implied volatility skew in the risk-neutral measure are subjects of extensive academic research.
Emese Lazar, Carol Alexandra
core
Applying Copula-GJR-GARCH Model in the Hedging of Gold Futures and Silver Futures
, 2012 金融資產報酬通常為厚尾且非常態，Copula 函數能夠依據個別資料之間的關聯性找出最適之聯合分配，使得模型的運用上更加具有彈性。本文以傳統OLS避險模型為指標、並考慮固定條件相關(CCC-GJR-GARCH)避險模型、動態條件相關(DCC-GJR-GARCH)避險模型以及以Copula-based GJR-GARCH 避險模型。實證上利用最小變異避險理論求出避險比例並衡量避險績效。比較不同避險模型的樣本內、外績效，發現以Copula 為基礎的GJR-GARCH 模型能夠提供較佳的避險 ...
李沃牆; 李莠苓
core
Symmetric and asymmetric GARCH estimations of the impact of oil price uncertainty on output growth: evidence from the G7. [PDF]
Lett Spat Resour Sci, 2023 Alao RO +5 more
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