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Estimasi Nilai AVaR Menggunakan Model GJR dan Model GARCH
Jurnal Matematika, 2015 Dalam pemodelan harga saham, sering dihadapkan pada suatu pertanyaan, apakah model GARCH atau GJR yang lebih tepat merepresentasikan pergerakan harga saham?
Komang Dharmawan
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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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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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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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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
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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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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
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GARCH models with leverage effect : differences and similarities [PDF]
, 2009 In this paper, we compare the statistical properties of some of the most popular GARCH models with leverage e?ect when their parameters satisfy the positivity, stationarity and nite fourth order moment restrictions.
Rodríguez, Mª José, Ruiz, Esther
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PLoS ONE, 2021 This paper provides a thorough overview and further clarification surrounding the volatility behavior of the major six cryptocurrencies (Bitcoin, Ripple, Litecoin, Monero, Dash and Dogecoin) with respect to world currencies (Euro, British Pound, Canadian
Viviane Naimy +3 more
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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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