Results 21 to 30 of about 36,176 (157)

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
doaj   +1 more source

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
doaj   +1 more source

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, KOMANG DHARMAWAN, I GUSTI AYU MADE SRINADI   +2 more
doaj   +1 more source

Modeling and Predicting Exchange Rate Volatility: Application of Symmetric GARCH and Asymmetric EGARCH and GJR-GARCH Models

Journal of the Cameroon Academy of Sciences, 2023
La modélisation et la prévision de la volatilité sont devenues de plus en plus importantes ces derniers temps étant donné qu’une compréhension de la volatilité future peut aider les investisseurs et les diverses parties prenantes à minimiser leurs pertes.
Bruno Dinga, J. Claver, K. K. Cletus, S. Che   +3 more
semanticscholar   +1 more source

International Price Relationship and Volatility Transmission Between Stock Index and Stock Index Futures

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, Fahmi bin Abdul Rahim   +1 more
doaj   +9 more sources

Improving Financial Volatility Modeling Using neutrosophic Logic and Applying the GJR-GARCH Model

passer journal of basic and applied sciences
openaire   +2 more sources

An investment decision-making model to predict the risk and return in stock market: An Application of ARIMA-GJR-GARCH

Decision Science Letters, 2022
In deciding to invest in stocks traded in the capital market, investors need to predict which stocks provide the prospect of return and the risks to be faced.
R. Hidayana, H. Napitupulu, S. Sukono
semanticscholar   +1 more source

An Analysis of the Exchange Rate Volatility in Poland using the GARCH, GJR-GARCH and EGARCH Models

Earthline Journal of Mathematical Sciences, 2022
This paper employs the symmetric GARCH and the asymmetric GJR-GARCH(1,1) and E-GARCH(1,1) models to explain the dynamics of the PLN/EUR and PLN/USD exchange rates in Poland for the periods of January 2015 to July 2022.
N. Enumah, H. Adewinbi
semanticscholar   +1 more source

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, KOMANG DHARMAWAN, I GUSTI AYU MADE SRINADI   +2 more
doaj   +1 more source