Results 11 to 20 of about 36,176 (157)

Variance Targeting Estimator for GJR-GARCH under Model’s Misspecification

Sains Malaysiana, 2018
The application of the Variance Targeting Estimator (VTE) is considered in GJR-GARCH(1,1) model, under three misspecification scenarios, which are, model misspecification, initial parameters misspecification and innovation distribution assumption misspecification.
Muhammad Asmu’i Abdul Rahim, Siti Meriam Zahari, S. Sarifah Radiah Shariff   +2 more
openaire   +2 more sources

Vertės pokyčio rizikos vertinimas taikant vienmatį režimų pasikeitimo MS–GJR–GARCH kopulos modelį

Vilnius University Open Series
Vertės pokyčio rizikos rodiklis yra vienas dažniausiai naudojamų pinigų finansų įstaigų sektoriuje galimam nuostoliui vertinti. Šiame darbe pastarasis rodiklis yra vertinamas taikant vienmatį režimų pasikeitimo MS–GJR–GARCH kopulos modelį, kuris modeliuoja ne tik volatilumą bei jo pokytį laike, bet ir atsižvelgia į priklausomybės struktūrą. Nagrinėjant
Ivanauskas, Eugenijus Gabrielius, Jokubaitis, Saulius   +1 more
openaire   +3 more sources

Testing and Predicting Volatility Spillover—A Multivariate GJR-GARCH Approach

Theoretical Economics Letters, 2019
This paper proposes a multivariate VAR-BEKK-GJR-GARCH volatility model to assess the dynamic interdependence among stock, bond and money market returns and volatility of returns. The proposed model allows for market interaction which provides useful information for pricing securities, measuring value-at-risk (VaR), and asset allocation and ...
Hira Aftab, Rabiul Alam Beg, Sizhong Sun, Zhangyue Zhou   +3 more
openaire   +3 more sources

Estimation of value at risk by using gjr-garch copula based on block maxima

Indonesian Journal of Statistics and Its Applications, 2021
This paper will discuss the risk estimation of a portfolio based on value at risk (VaR) using a copula-based asymmetric Glosten – Jagannathan – Runkle - Generalized Autoregressive Conditional Heteroskedasticity (GJR-GARCH). There is non-linear correlation for dependent model structure among the variables that lead to the inaccurate VaR estimation so ...
Hasna Afifah Rusyda, Fajar Indrayatna, Lienda Noviyanti   +2 more
openaire   +3 more sources

Estimated Value-at-Risk Using the ARIMA-GJR-GARCH Model on BBNI Stock

Operations Research: International Conference Series
Stocks are investment instruments that are much in demand by investors as a basis in financial storage. Return and risk are the most important things in investing. Return is a complete summary of investment and the return series is easier to handle than the price series. The movement of risk of loss is obtained from stock investments with profits.
Rizki Apriva Hidayana, Herlina Napitupulu, Sukono Sukono   +2 more
openaire   +2 more sources

Portfolio optimization from a Copulas-GJR-GARCH-EVT-CVAR model: Empirical evidence from ASEAN stock indexes

Quantitative Finance and Economics, 2019
Este estudio emplea varios métodos para simular y construir la cartera a partir de índices bursátiles de los seis mercados de la Asociación de Naciones del Sudeste Asiático (ASEAN) durante el período comprendido entre enero de 2001 y diciembre de 2017, a saber, Cópulas variables en el tiempo; Glosten, Jagannathan y Runkle (GJR); heterocedasticidad ...
Sang Phu Nguyen, Toan Luu Duc Huynh
semanticscholar   +4 more sources

Empirical performance of GARCH, GARCH-M, GJR-GARCH and log-GARCH models for returns volatility

Journal of Physics: Conference Series, 2019
Abstract Volatility plays an important role in the field of financial econometrics as one of the risk indicators. Many various models address the problem of modeling the volatilities of financial asset returns. This study provides a new empirical performance comparison of the four different GARCH-type models, namely GARCH, GARCH-M, GJR ...
D B Nugroho, D Kurniawati, L P Panjaitan, Z Kholil, B Susanto, L R Sasongko   +5 more
openaire   +2 more sources

Estimation of value at risk in currency exchange rate portfolio using asymmetric GJR-GARCH Copula [PDF]

AIP Conference Proceedings, 2017
In this study, we discuss the problem in measuring the risk in a portfolio based on value at risk (VaR) using asymmetric GJR-GARCH Copula. The approach based on the consideration that the assumption of normality over time for the return can not be fulfilled, and there is non-linear correlation for dependent model structure among the variables that lead
Mohamad Husein Nurrahmat, Lienda Noviyanti, Achmad Bachrudin   +2 more
openaire   +2 more sources

ESTIMATING VOLATILITY CLUSTERING USING GJR-GARCH MODEL: A CASE STUDY FOR GERMAN STOCK MARKET [PDF]

Analele Universităţii Constantin Brâncuşi din Târgu Jiu : Seria Economie, 2022
The purpose of this article is to concentrate on the stylized data in the financial series of the major index DAX of the German stock market. Moreover, we investigated the effects of positive and negative news on the volatility of the stock market of ...
RACHANA BAID, CRISTI SPULBAR, JATIN TRIVEDI, RAMONA BIRAU, ANCA IOANA IACOB (TROTO)   +4 more
doaj   +1 more source

An analysis of Ramadan effect by GJR-GARCH model: case of Borsa Istanbul

Oeconomia Copernicana, 2016
Although there are a lot of studies testing the calendar effect in BIST, there are limited numbers of studies testing the Ramadan effect. In this study, the period of 05 August 1997–24 October 2014 is tested by the GJR-GARCH(1,1) model on the basis of BIST 30, 100, all, second national, sectors and sub-sectors. In some of the models, the dummy variable
K. Batu Tunay, Murat Akbalik
openaire   +3 more sources