Results 61 to 70 of about 3,916 (205)

Estimation of value at risk in currency exchange rate portfolio using asymmetric GJR-GARCH Copula [PDF]

AIP Conference Proceedings, 2017
In this study, we discuss the problem in measuring the risk in a portfolio based on value at risk (VaR) using asymmetric GJR-GARCH Copula. The approach based on the consideration that the assumption of normality over time for the return can not be fulfilled, and there is non-linear correlation for dependent model structure among the variables that lead
Mohamad Husein Nurrahmat, Lienda Noviyanti, Achmad Bachrudin   +2 more
openaire   +1 more source

Portfolio Selection under Systemic Risk

Journal of Money, Credit and Banking, Volume 57, Issue 4, Page 905-949, June 2025.
Abstract This paper proposes a modified Sharpe ratio to construct optimal portfolios under systemic events. The portfolio allocation problem is solved analytically under the absence of short‐selling restrictions and numerically when short‐selling restrictions are imposed.
WEIDONG LIN, JOSE OLMO, ABDERRAHIM TAAMOUTI   +2 more
wiley   +1 more source

Forecasting Airtel Stock Prices Through Decomposition and Integration: A Novel VMD‐GARCH‐LSTM Framework

International Journal of Mathematics and Mathematical Sciences, Volume 2025, Issue 1, 2025.
Stock price forecasting is complex due to the nonlinear and nonstationary nature of financial time series. This study proposes a hybrid variational mode decomposition (VMD)–generalized autoregressive conditional heteroskedasticity (GARCH)–long short‐term memory (LSTM) model to predict Airtel’s stock prices, integrating VMD, GARCH, and LSTM networks ...
John Kamwele Mutinda, Amos Kipkorir Langat, Samuel Musili Mwalili, Andrzej Skowron   +3 more
wiley   +1 more source

Modeling and Forecasting Volatility of the Malaysian and the Singaporean stock indices using Asymmetric GARCH models and Non-normal Densities [PDF]

This paper examines and estimate the three GARCH(1,1) models (GARCH, EGARCH and GJR-GARCH) using the daily price data. Two Asian stock indices KLCI and STI are studied using daily data over a 14-years period.
Abu Hassan, Ahmed Shamiri
core  

Application of Hawkes Volatility in the Observation of Filtered High‐Frequency Price Process in Tick Structures

Applied Stochastic Models in Business and Industry, Volume 40, Issue 6, Page 1689-1711, November/December 2024.
ABSTRACT The Hawkes model is suitable for describing self and mutually exciting random events. In addition, the exponential decay in the Hawkes process allows us to calculate the moment properties of the model. However, owing to the complexity of the model and formula, few studies have examined the Hawkes volatility. In this study, we derive a variance
Kyungsub Lee
wiley   +1 more source

Conditional Correlation Models of Autoregressive Conditional Heteroskedasticity with Nonstationary GARCH Equations [PDF]

In this paper we investigate the effects of careful modelling the long-run dynamics of the volatilities of stock market returns on the conditional correlation structure.
Cristina Amado, Timo Teräsvirta
core  

GARCH CLASS MODELS PERFORMANCE IN CONTEXT OF HIGH MARKET VOLATILITY [PDF]

, 2014
In the presented paper GARCH class models were considered for describing and forecasting market volatility in context of the economic crisis. The sample composition was designed to emphasize models performance in two groups of markets: well-developed and
Małecka, Marta
core   +1 more source

Forecasting Bitcoin returns: Econometric time series analysis vs. machine learning

Journal of Forecasting, Volume 43, Issue 7, Page 2904-2916, November 2024.
Abstract We study the statistical properties of the Bitcoin return series and provide a thorough forecasting exercise. Also, we calibrate state‐of‐the‐art machine learning techniques and compare the results with econometric time series models. The empirical assessment provides evidence that the application of machine learning techniques outperforms ...
Theo Berger, Jana Koubová
wiley   +1 more source

COVID-19, Government Response, and Market Volatility: Evidence from the Asia-Pacific Developed and Developing Markets

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, Kamilah Kamaludin, Sheela Sundarasen   +2 more
doaj   +1 more source

Modelling Changes in the Unconditional Variance of Long Stock Return Series [PDF]

In this paper we develop a testing and modelling procedure for describing the long-term volatility movements over very long return series. For the purpose, we assume that volatility is multiplicatively decomposed into a conditional and an unconditional ...
Cristina Amado, Timo Terasvirta
core