Results 131 to 140 of about 36,176 (157)

A new GJR‐GARCH model for ℤ‐valued time series

Journal of Time Series Analysis, 2021
The Glosten–Jagannathan–Runkle GARCH (GJR‐GARCH) model is popular in accounting for asymmetric responses in the volatility in the analysis of continuous‐valued financial time series, but asymmetric responses in the volatility are also observed in time series of counts or ‐valued time series, such as the daily number of stock transactions or the daily ...
Yue Xu, Fukang Zhu
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Forecasting of Solar Power Volatility using GJR-GARCH method

2021 IEEE Electrical Power and Energy Conference (EPEC), 2021
The rapid increase in solar power plant installation creating considerable difficulties for power system operation and control, due to the highly stochastic nature of solar energy.
Sumana Ghosh, Pawan Kumar Gupta
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GJR-GARCH process with normal errors of varying mean

Communications in Statistics - Simulation and Computation
In this article, we study the modelisation of GJR-GARCH process with N(m,1) using the quasi-maximum likelihood estimator. First, we determine the process’s stationarity conditions.
Y. Boularouk
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BAYESIAN ESTIMATION OF THE GJR-GARCH (p, q) MODEL WITH STUDENT-T PRIOR DISTRIBUTION

SDSSU MULTIDISCIPLINARY RESEARCH JOURNAL, 2023
The presence of volatility in many financial time series data is one of the problems that cause the variance to be non-constant. The GJR-GARCH (p, q) is a model that takes into account time-varying volatility, allowing positive and negative shocks to have distinct effects.
Resa Mae R. Sangco
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Measuring extreme risk of sustainable financial system using GJR-GARCH model trading data-based

International Journal of Information Management, 2020
Abstract This paper investigates the role of gold as a safe haven for stock markets and the US dollar by examining the extreme risk spillovers. The extreme risk is measured by Value at Risk (VaR), which is estimated by GJR-GARCH model based on skewed t distribution.
Xiaomeng Ma, Ruixian Yang, Dong Zou, Rui Liu   +3 more
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Pricing VIX Futures under the GJR–GARCH Process: An Analytical Approximation Method

The Journal of Derivatives, 2020
This article investigates the performance of GJR-GARCH in pricing VIX futures. We first establish a theoretical relationship between VIX futures price and the model implied VIX, from which an analytical approximation pricing formula is then obtained. We compare the pricing performance of the GJR-GARCH model with the Heston-Nandi model. The results show
Haibin Xie, Mo Zhou, Tinghui Ruan
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Short-Term Electricity Price Forecasting Using Hybrid SARIMA and GJR-GARCH Model

2017
The liberalization of the power markets gained a remarkable momentum in the context of trading electricity as a commodity. With the upsurge in restructuring of the power markets, electricity price plays a dominant role in the current deregulated market scenario which is majorly influenced by the economics being governed. Electricity price has got great
Vipin Kumar, Nitin Singh, Deepak Kumar Singh, S. R. Mohanty   +3 more
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Comparison of forecasting performance between ARIMA-GJR-GARCH-SVR and ARIMA-GJR-GARCH-(LS-SVR) models based on wavelet transform

AIP Conference Proceedings
Bouraida Burhan Kadhum, Firas Ahmmed Mohammed   +1 more
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Gjr-Garch Midas Model Based Analyse Geopolitical Risk and Energy Price Volatility

Social Science Research Network, 2023
Chenyao Zhang, Xiaoxing Liu, Xuemei Li, Chun Tang   +3 more
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