Return Volatility of International Stock Index Based on GJR-Garch(1,1) Model
, 2019 Tidak diijinkan karya tersebut diunggah ke dalam aplikasi Repositori Perpustakaan Universitas karena proses review di Jurnal Dinamika Manajemen yang dikelola Universitas Negeri Semarang.Studi ini memberikan perbandingan kinerja antara model GARCH(1,1 ...
Panjaitan, Lam Peter
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The linkage between Bitcoin and foreign exchanges in developed and emerging markets. [PDF]
Financ Innov, 2023 BenSaïda A.
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Forecasting with a Bivariate Hysteretic Time Series Model Incorporating Asymmetric Volatility and Dynamic Correlations. [PDF]
Entropy (Basel)Than HT.
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ECG Signal Modeling Using Volatility Properties: Its Application in Sleep Apnea Syndrome. [PDF]
J Healthc Eng, 2021 Faal M, Almasganj F.
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Cross-market volatility spillovers between China and the United States: A DCC-EGARCH-t-Copula framework with out-of-sample forecasting. [PDF]
PLoS OneZeng J, Wu J.
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Using smart transportation assets to hedge fossil energy markets: Evidence from quantile-based VAR approach. [PDF]
PLoS OneHasan MB +5 more
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Volatility Interdependence Between Cryptocurrencies, Equity, and Bond Markets. [PDF]
Comput Econ, 2022 Harb E, Bassil C, Kassamany T, Baz R.
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GJR-GARCH Model in Value-at-Risk of Financial Holdings
, 2007 近年來金融環境變化迅速，由於新金融商品的開放及金融機構間激烈的競爭，金融機構無不增加其交易活動以改善其獲利，隨之也帶來顯著的市場風險。市場風險值（Value-at-Risk，VaR）目前已經成為衡量金融機構市場風險的標準方法。 本研究導入一不對稱GARCH模型－GJR-GARCH模型，來計算市場風險值，探討使用GJR-GARCH模型是否可以更精確地衡量金融機構的市場風險。由於缺乏實際的每日交易損益資料，我們模擬兩個投資組合A和B，分別代表富邦和國泰世華金融控股公司 ...
Lin, Yun-Ju, 林韻茹
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Risk contagion of COVID-19 to oil prices: A Markov switching GARCH and PCA approach. [PDF]
PLoS OneSiddiqui N, Mohamad Hasim H.
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Unleashing the pandemic volatility: A glimpse into the stock market performance of developed economies during COVID-19. [PDF]
HeliyonKayani UN +5 more
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