Results 61 to 70 of about 36,176 (157)
Journal of Administration & Economicsان معظم اسواق المال واسعارالصرف المحلية والعالمية وحتى المتغيرات الاقتصادية كالتضخم واسعار الاسهم تتميز بخاصية التقلبات ( Volatility) والتغيرات المفاجئة التي قد تكون خارجة عن المألوف . لذا تم ادخــال اطــار تبديل النظـام (System Switching) في نماذج (
قصي احمد طه +1 more
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Hybrid Model for Stock Market Volatility
Journal of Probability and Statistics, 2023 Empirical evidence suggests that the traditional GARCH-type models are unable to accurately estimate the volatility of financial markets. To improve on the accuracy of the traditional GARCH-type models, a hybrid model (BSGARCH (1, 1)) that combines the ...
Kofi Agyarko +2 more
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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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Jurnal GaussianFinancial data, such as stock prices, usually have a tendency to fluctuate rapidly and create a heteroscedastic effect on the variance of residuals. The Covid-19 pandemic that occurred from 2020 to 2022 is one factor that can affect economic movements ...
Auliana Rahma Hafizhah +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]
, 2017 The majority of stylized facts of financial time series and several Value-at-Risk measures are modeled via univariate or multivariate GARCH processes.
S. Stavroyiannis
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Risk measurement of global stock markets: a factor copula-based GJR-GARCH approach
Journal of Physics: Conference Series, 2019 AbstractFinancial crisis in 2008 caused huge loss and one of the accusations is the misprediction of risk measurement. Considering the important role the stock markets play, and the trend of globalization in economy, we propose forecasting Value at Risk of G20’s (except European Union) stock indexes in three periods, pre-crisis, during crisis and post ...
Quanrui Song +2 more
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Inflación e incertidumbre inflacionaria: la postura del Banco de México, 1969-2017
Revista Finanzas y Política Económica, 2018 Este artículo examina la relación entre inflación e incertidumbre inflacionaria para la economía de México durante el periodo que comprende enero de 1969 a febrero de 2017, utilizando modelos SARMA-GARCH y sus extensiones GJR-GARCH-M y E-GARCH-M.
Eduardo Rosas Rojas +1 more
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Fuzzy Levy-GJR-GARCH American Option Pricing Model Based on an Infinite Pure Jump Process
IEICE Trans. Inf. Syst., 2018 This paper focuses mainly on issues related to the pricing of American options under a fuzzy environment by taking into account the clustering of the underlying asset price volatility, leverage effect and stochastic jumps. By treating the volatility as a
Huiming Zhang, J. Watada
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Economies, 2020 This study examines the relationship between COVID-19, government response measures, and stock market volatilities for 11 developed and developing economies within the Asia-Pacific region. Our period of study is between 15 February–30 May 2020. Using the
Izani Ibrahim +2 more
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The Volatility Forecasting of Tehran& International Stock Exchanges [PDF]
مطالعات تجربی حسابداری مالی, 2008 Stock prices are one of the most volatile economic variables and forecasting stock prices and their returns has proved very challenging, if not impossible.
H. Khaleghi Moghadam +2 more
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