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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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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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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
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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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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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Journal of mathematics, 2021 As the main force in the futures market, agricultural product futures occupy an important position in the China’s market. Taking the representative soybean futures in Dalian Commodity Futures Market of China as the research object, the relationship ...
Yang Xu +5 more
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Optimizing the Model Investment Portfolios Based on Coherent Risk Measures under Conditions of Asymmetric Financial Market Volatility [PDF]
Problemi EkonomikiThis article is dedicated to the optimization of model investment portfolios by integrating asymmetric volatility forecasting using GJR-GARCH models, considering the minimization of Conditional Value at Risk (CVaR).
Manoilenko Oleksandr V. +2 more
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Determination of Risk Value Using the ARMA-GJR-GARCH Model on BCA Stocks and BNI Stocks
Operations Research: International Conference Series, 2021 Stocks are common investments that are in great demand by investors. Stocks are also an investment instrument that provides returns but tends to be riskier. The return time series is easier to handle than the price time series.
R. Hidayana +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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