Results 31 to 40 of about 36,906 (198)
Estimasi Nilai AVaR Menggunakan Model GJR dan Model GARCH [PDF]
, 2015 Dalam pemodelan harga saham, sering dihadapkan pada suatu pertanyaan, apakah model GARCH atau GJR yang lebih tepat merepresentasikan pergerakan harga saham?
Komang Dharmawan
core +1 more source
Estimation of value at risk by using gjr-garch copula based on block maxima
Indonesian Journal of Statistics and Its Applications, 2021 This paper will discuss the risk estimation of a portfolio based on value at risk (VaR) using a copula-based asymmetric Glosten – Jagannathan – Runkle - Generalized Autoregressive Conditional Heteroskedasticity (GJR-GARCH). There is non-linear correlation for dependent model structure among the variables that lead to the inaccurate VaR estimation so ...
Hasna Afifah Rusyda +2 more
openaire +2 more sources
, 2018 Expected versus observed number of exceptions following Bayesian MS-GJR-GARCH(1,1) and GJR-GARCH(1,1) copula-EVT VaR model.
Haslifah M. Hasim (4839987) +2 more
core +1 more source
PEMODELAN GJR-GARCH PADA DATA KURS HARIAN RUPIAH TERHADAP DOLAR AMERIKA SAAT KRISIS EKONOMI [PDF]
, 2021 Kurs merupakan data keuangan suatu negara yang menunjukkan daya beli internasional pada negara yang bersangkutan. Krisis ekonomi global berdampak pada perekonomian yang berpengaruh terhadap kurs menjadi tidak stabil, sehingga mengakibatkan volatilitas ...
Wulansari, Dhea Aprilia +2 more
core +1 more source
Forecasting Performance of Asymmetric GARCH Stock Market Volatility Models
East Asian Economic Review, 2009 We investigate the asymmetry between positive and negative returns in their effect on conditional variance of the stock market index and incorporate the characteristics to form an out-of-sample volatility forecast.
Hojin Lee
doaj +1 more source
Fuzzy Levy-GJR-GARCH American Option Pricing Model Based on an Infinite Pure Jump Process
IEICE Transactions on Information and Systems, 2018 Junzo Watada
exaly +4 more sources
Modern FinanceThis study examines the effect of Twitter-derived investor sentiment on stock market volatility in South Africa using daily data for the JSE All Share Index from 2016 to 2023.
Thiasha Naidoo
doaj +1 more source
International Journal of Financial Studies, 2022 This paper attempted to apply an EVT-based pairwise copula method for modelling risk interaction between foreign exchange rates and equity indices of the Johannesburg Stock Exchange (JSE) and to model the dependence structure of the underlying assets ...
Joel Hinaunye Eita +1 more
doaj +1 more source
Testing and Predicting Volatility Spillover—A Multivariate GJR-GARCH Approach
Theoretical Economics Letters, 2019 This paper proposes a multivariate VAR-BEKK-GJR-GARCH volatility model to assess the dynamic interdependence among stock, bond and money market returns and volatility of returns. The proposed model allows for market interaction which provides useful information for pricing securities, measuring value-at-risk (VaR), and asset allocation and ...
Hira Aftab +3 more
openaire +2 more sources
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