Results 11 to 20 of about 36,906 (198)
Estimation of tail thickness parameters from GJR-GARCH models [PDF]
, 2009 We propose a method of estimating the Pareto tail thickness parameter of the unconditional distribution of a financial time series by exploiting the implications of a GJR-GARCH volatility model. The method is based on some recent work on the extremes of GARCH-type processes and extends the method proposed by Berkes, Horváth and Kokoszka (2003). We show
Linton, Oliver, Iglesias, Emma M.
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GRG Non-Linear and ARWM Methods for Estimating the GARCH-M, GJR, and log-GARCH Models [PDF]
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
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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
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Volatility regimes of selected central European stock returns: a Markov switching GARCH approach
Journal of Business Economics and Management, 2022 This paper investigates the weekly stock market data of the Hungarian stock index BUX, the Czech stock index PX and the Polish stock index WIG20 spanning from January 7, 2001 to April 18, 2021.
Michaela Chocholatá
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Comparing various GARCH-type models in the estimation and forecasts of volatility of S&P 500 returns during Global Finance Crisis of 2008 and COVID-19 financial crisis [PDF]
SHS Web of Conferences, 2023 In this study, we utilize various GARCH-type models to estimate and forecast volatility on S&P 500 returns and compare the results between the two financial crises, the GFC of 2008 (Global Financial Crisis of 2008) and the COVID-19 financial crisis ...
Chen Xuanyu
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ESTIMASI CVAR PADA PORTOFOLIO SAHAM MENGGUNAKAN METODE GJR-EVT DENGAN PENDEKATAN D-VINE COPULA
E-Jurnal Matematika, 2022 Risk measure using Conditional Value at Risk can be calculate if values that exceeds the p-quantile is known in VaR. The models used to accommodate characteristics of the stock portfolio in this research are EVT-GARCH-D-vine copula and EVT-GJR-D-vine ...
DERY MAULANA +2 more
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Economic Journal of Emerging Markets, 2011 This study investigates the international price relationship and volatility transmissions between stock index and stock index futures of Malaysia, Hong Kong and Japan. Vector Autoregression (VAR) GJR-GARCH model was applied to the nine years daily price.
ArIsmail bin Ahmad +1 more
doaj +9 more sources
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.
Chuanhui Wang +4 more
openaire +2 more sources
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
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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
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