Results 181 to 190 of about 36,906 (198)

On a GJR-GARCH Model with the Standardized Pearson Type IV Distribution

SSRN Electronic Journal, 2013
We 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, 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.
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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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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 0022   +3 more
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Forecasting of Solar Power Volatility using GJR-GARCH method

2021 IEEE Electrical Power and Energy Conference (EPEC), 2021
Sumana Ghosh, Pawan Kumar Gupta
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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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Analyzing spillover effects of selected cryptocurrencies on gold and brent crude oil under COVID-19 pandemic: Evidence from GJR-GARCH and EVT copula methods

Resources Policy, 2023
Seyed Babak Ebrahimi, Majid Mirzaee Ghazani   +1 more
exaly  

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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The Search of Structural Changes in Mutual Fund Industry-Based On the ARMAX-GJR-GARCH Model

Asian Journal of Empirical Research, 2013
This study aims to examine the impacts of a bond fund segregation policy event on Taiwan mutual fund industry. In principle, mutual fund industry is a highly regulated industry. However, bond funds focus on pursuing short-term high returns and increasing their scale by investing in structured products with poor liquidity and those offered to clients ...
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Gjr-Garch Midas Model Based Analyse Geopolitical Risk and Energy Price Volatility

2023
Chenyao Zhang, Xiaoxing Liu, Xuemei Li, Chun Tang   +3 more
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