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GJR-GARCH process with normal errors of varying mean
Communications in Statistics Part B: Simulation and ComputationYakoub Boularouk
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Building Fuzzy Levy-GJR-GARCH American Option Pricing Model
2019Taking into account the time-varying, jump and leverage effect characteristics of asset price fluctuations, we first obtain the asset return rate model through the GJR-GARCH model (Glosten, Jagannathan and Rundle-generalized autoregressive conditional heteroskedasticity model) and introduce the infinite pure-jump Levy process into the asset return rate
Huiming Zhang, Junzo Watada
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Pricing VIX Futures under the GJR–GARCH Process: An Analytical Approximation Method
The Journal of Derivatives, 2020This 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
2017The 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 +3 more
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On a GJR-GARCH Model with the Standardized Pearson Type IV Distribution
SSRN Electronic Journal, 2013We examine the efficiency of a GJR-GARCH model where the residuals follow the standardize Pearson type-IV distribution. As a case study we consider the historical daily close price of the Standard and Poor’s index. The model is tested with a variety of loss functions and the efficiency is examined by application of several Value-at-Risk tests and ...
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BAYESIAN ESTIMATION OF THE GJR-GARCH (p, q) MODEL WITH STUDENT-T PRIOR DISTRIBUTION
SDSSU MULTIDISCIPLINARY RESEARCH JOURNAL, 2023The 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.
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Forecasting of Solar Power Volatility using GJR-GARCH method
2021 IEEE Electrical Power and Energy Conference (EPEC), 2021Sumana Ghosh, Pawan Kumar Gupta
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SSRN Electronic Journal, 1999
This article proposes a portfolio-based pricing method to evaluate risk and systematically consider risk premium. The risk premium is charged to satisfy risk management and return on risk capital requirements. The P&L distributions are priced based on Value-at-Risk and return on capital approach.
Dajiang Guo, Sergei E. Esipov
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This article proposes a portfolio-based pricing method to evaluate risk and systematically consider risk premium. The risk premium is charged to satisfy risk management and return on risk capital requirements. The P&L distributions are priced based on Value-at-Risk and return on capital approach.
Dajiang Guo, Sergei E. Esipov
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A Modified GJR-GARCH Model with Information Disseminating Speed
2007 International Conference on Computational Intelligence and Security Workshops (CISW 2007), 2007Guo Qing Zhao, Jun Wei
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Gjr-Garch Midas Model Based Analyse Geopolitical Risk and Energy Price Volatility
2023Chenyao Zhang +3 more
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