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 +4 more
doaj +1 more source
Stochastic properties and pricing of bitcoin using a GJR-GARCH model with conditional skewness and kurtosis components [PDF]
Review of Quantitative Finance and Accounting, 2022 Using a flexible statistical framework that accounts for time-varying skewness and leptokurtosis, we examine the stochastic behavior of Bitcoin in comparison to five major currencies. The empirical findings reveal that the distribution of all series is leptokurtic.
Theodossiou P, Ellina P, Savva C.
europepmc +3 more sources
PEMODELAN BEBAN PUNCAK ENERGI LISTRIK MENGGUNAKAN MODEL GJR-GARCH [PDF]
Jurnal MSA ( Matematika dan Statistika serta Aplikasinya ), 2018 Energi listrik adalah salah satu kebutuhan pokok yang memiliki peranan yang sangat penting dalam kehidupan. Kebutuhan akan energi listrik tidak bisa terlepas dari kehidupan baik itu untuk kebutuhan rumah tangga, industri, maupun pemerintahan.setiap harinya konsumsi listrik pada waktu tertentu akan mengalami puncak pemakaian, sehingga dipandang perlu ...
Ermawati, Ermawati +2 more
openaire +1 more source
Price Risk Measurement of China’s Soybean Futures Market Based on the VAR‐GJR‐GARCH Model [PDF]
Complexity, 2021 As one of the main forces in the futures market, agricultural product futures occupy an important position in China’s market. As China’s futures market started late and its maturity was low, there are many risks. This study focuses on the Dalian soybean futures market.
Chuan-hui Wang +4 more
openaire +2 more sources
Estimasi Nilai AVaR Menggunakan Model GJR dan Model GARCH
Jurnal Matematika, 2015 Dalam pemodelan harga saham, sering dihadapkan pada suatu pertanyaan, apakah model GARCH atau GJR yang lebih tepat merepresentasikan pergerakan harga saham?
Komang Dharmawan
doaj +1 more source
PERHITUNGAN VALUE AT RISK KUNJUNGAN WISATAWAN ASING KE BALI
E-Jurnal Matematika, 2020 The development of the tourism industry in Bali is very fast compared to other regions in Indonesia. This is due to the fascination of Bali which fascinates tourists, such as culture, customs and natural beauty.
AGUS PUTU SURYAWAN +2 more
doaj +1 more source
ESTIMASI NILAI CONDITIONAL VALUE AT RISK (CVaR) PORTOFOLIO MENGGUNAKAN METODE EVT-GJR-VINE COPULA
E-Jurnal Matematika, 2019 Conditional value at risk (CVaR) is widely used in risk measure that takes into account losses exceeding the value at risk level. The aim of this research is to compare the performance of the EVT-GJR-vine copula method and EVT-GARCH-vine copula method in
NI WAYAN UCHI YUSHI ARI SUDINA +2 more
doaj +1 more source
The Modeling the returns volatility of Indonesian stock indices: The case of SRI-KEHATI and LQ45
Jurnal Ekonomi Modernisasi, 2022 The purpose of this research is to model the volatility of Stock Indices in Indonesian capital market. This research focuses on two stock indices namely SRI-KEHATI and LQ45.
Regi Muzio Ponziani
doaj +1 more source
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 +2 more
openaire +1 more source
GRG Non-Linear and ARWM Methods for Estimating the GARCH-M, GJR, and log-GARCH Models
JTAM (Jurnal Teori dan Aplikasi Matematika), 2022 Numerous variants of the basic Generalized Autoregressive Conditional Heteroscedasticity (GARCH) models have been proposed to provide good volatility estimating and forecasting. Most of the study does not work Excel’s Solver to estimate GARCH-type models.
Didit Budi Nugroho +5 more
doaj +1 more source