Results 71 to 80 of about 36,906 (198)
, 2018 Forecasts daily VaR estimates and daily profit and loss (P&L) plots for an investment in a portfolio consisting of all banks following Bayesian MS-GJR-GARCH(1,1) Frank copula EVT VaR model.
Haslifah M. Hasim (4839987) +2 more
core +1 more source
International Journal of Energy Research, Volume 2026, Issue 1, 2026.As the leading energy source, oil price volatility has crucial effects in energy markets, and geopolitical risks (GPRs) and economic policy uncertainties contribute to its volatility. Further, chaos, long‐range dependence, fractionality, and complexity significantly reduce modeling and forecast performances.
Özgür Ömer Ersin +2 more
wiley +1 more source
Analisis Perkiraan Beban Puncak Energy Listrik Menggunakan Model GJR-GARCH [PDF]
, 2017 Berdasarkan hasil penelitian maka diperoleh beberapa model yang digunakan dalam proses peramalan ini yaitu model ARIMA(1,1,1) dan model GJR-GARCH (1,1).
Nurzarina, Nurzarina
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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
doaj +1 more source
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
doaj +1 more source
Renewables, Spillovers, and Volatility: Evidence From Romania’s Restructuring Electricity Market
International Journal of Energy Research, Volume 2026, Issue 1, 2026.Our research study explores the dynamic interplay between Romania’s day‐ahead market (DAM) and intraday continuous (IDC) market in the context of rising renewable energy sources (RES) integration in Romania. Utilizing market data from June 2024 to mid of December 2025, the analysis incorporates both market transactions (prices and volumes) and system ...
Simona-Vasilica Oprea, Adela Bâra
wiley +1 more source
This study is aimed at investigating the asymmetric and time-frequency co-movements and the hedge or safe-haven properties of carbon efficient indices, the MSCI ACWI Sustainable Impact, and MSCI World EGS indices, in relation to technology and innovation-
Chunhui Huo (4849138) +2 more
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PERBANDINGAN MODEL EXPONENTIAL GARCH, GJR-GARCH DAN QUADRATIC GARCH PADA INDEKS HARGA SAHAM GABUNGAN (IHSG) [PDF]
, 2023 Indeks Harga Saham Gabungan (IHSG) merupakan indeks pada Bursa Efek Indonesia yang melacak kinerja semua saham yang terdaftar di sana. IHSG biasanya digunakan untuk melihat gambaran kenaikan dan penurunan pasar investasi secara keseluruhan pada Bursa ...
HERDA DWIYANTI, .
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Volatility Modeling of Currency Returns: A Bayesian Multivariate GARCH‐EVT Framework
Journal of Probability and Statistics, Volume 2026, Issue 1, 2026.Exchange rate volatility is widely recognized as a major driver of financial instability in emerging markets, driven by its complex dynamics, time‐varying dependence structures, and the frequent occurrence of extreme events. However, existing models often treat these interrelated features in isolation, limiting their ability to adequately capture their
Jean De Dieu Ntawihebasenga +4 more
wiley +1 more source
, 2018 Forecasts daily VaR estimates and daily profit and loss (P&L) plots for an investment in a portfolio consisting of all banks following Bayesian MS-GJR-GARCH(1,1) Student’s-t copula EVT VaR model.
Haslifah M. Hasim (4839987) +2 more
core +1 more source