Results 21 to 30 of about 36,906 (198)
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
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International Journal of Financial Studies, 2022 Over the past years, cryptocurrencies have drawn substantial attention from the media while attracting many investors. Since then, cryptocurrency prices have experienced high fluctuations. In this paper, we forecast the high-frequency 1 min volatility of
Apostolos Ampountolas
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Copernican Journal of Finance & Accounting, 2015 The modelling of market returns can be especially problematical in emerging and frontier financial markets given the propensity of their returns to exhibit significant non-normality and volatility asymmetries.
Heitham Al-Hajieh +3 more
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Estimation of value at risk (VaR) index of mobarakeh steel company using two-sided lomax GARCH model [PDF]
تصمیم گیری و تحقیق در عملیات, 2022 Purpose: We have introduced the two-sided Lomax-GARCH (TSLx-GARCH) model. We have used this model to create a more realistic value-at-risk value index than other distributions for all confidence levels. We find this index for applied data.Methodology: In
Rasool Roozegar, Samane Arkia
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Asymmetry and Leverage in Conditional Volatility Models
Econometrics, 2014 The three most popular univariate conditional volatility models are the generalized autoregressive conditional heteroskedasticity (GARCH) model of Engle (1982) and Bollerslev (1986), the GJR (or threshold GARCH) model of Glosten, Jagannathan and Runkle ...
Michael McAleer
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Modeling crude oil price volatility in Nigeria: using GARCH (1,1), EGARCH (1,1), and GJR-GARCH (1,1) models [PDF]
مجلة العلوم التجارية والبيئيةThis study investigates the performance of various GARCH models for volatility forecasting, focusing on the GARCH (1,1), EGARCH (1,1), and GJR-GARCH (1,1) frameworks, each tested with normal and Student’s t-distributions.
Frederick A. Omoruyi +2 more
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Day-of-the-week and month-of-the-year effects on French Small-Cap Volatility: the role of asymmetry and long memory [PDF]
Eastern Journal of European Studies, 2019 Small-cap stocks are characterized by high volatility and offer investors the opportunity to earn higher returns. This paper empirically investigates the impact of the day-of-the-week and the month-of-the year effects on the volatility of daily and ...
Mohamed CHIKHI +2 more
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A note on the Nelson-Cao inequality constraints in the GJR-GARCH model: is there a leverage effect? [PDF]
International Journal of Economics and Business Research, 2017 The majority of stylized facts of financial time series and several Value-at-Risk measures are modeled via univariate or multivariate GARCH processes. It is not rare that advanced GARCH models fail to converge for computational reasons, and a usual parsimonious approach is the GJR-GARCH model.
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Time Series Analysis Using Wavelets And Gjr-Garch Models
, 2012 Publication in the conference proceedings of EUSIPCO, Bucharest, Romania ...
Mircea Gherman +2 more
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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
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