Results 21 to 30 of about 13,849,659 (169)

An Empirical Evaluation of GARCH Models in Value-at-Risk Estimation: Evidence from the Macedonian Stock Exchange

Business Systems Research, 2013
Background: In light of the latest global financial crisis and the ongoing sovereign debt crisis, accurate measuring of market losses has become a very current issue. One of the most popular risk measures is Value-at-Risk (VaR). Objectives: Our paper has
Bucevska Vesna
doaj   +1 more source

Expected versus observed number of exceptions following Bayesian MS-GJR-GARCH(1,1) and GJR-GARCH(1,1) copula-EVT VaR model.

, 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), Hongsheng Dai (819650), Marius Galabe Sampid (5439320)   +2 more
core   +1 more source

The predictive capacity of GARCH-type models in measuring the volatility of crypto and world currencies.

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, Omar Haddad, Gema Fernández-Avilés, Rim El Khoury   +3 more
doaj   +1 more source

Forecasting the Volatility of Real Residential Property Prices in Malaysia: A Comparison of Garch Models

Real Estate Management and Valuation, 2023
The presence of volatility in residential property market prices helps investors generate substantial profit while also causing fear among investors since high volatility implies a high return with a high risk.
Suleiman Ahmad Abubakar, Othman Mahmod, Daud Hanita, Abdullah Mohd Lazim, Kadir Evizal Abdul, Kane Ibrahim Lawal, Husin Abdullah   +6 more
doaj   +1 more source

PEMODELAN BEBAN PUNCAK ENERGI LISTRIK MENGGUNAKAN MODEL GJR-GARCH [PDF]

, 2018
Energi listrik adalah salah satu kebutuhan pokok yang memiliki peranan yang sangat penting dalam kehidupan. Kebutuhan akan energi listrik tidak bisa terlepas dari kehidupan baik itu untuk kebutuhan rumah tangga, industri, maupun pemerintahan.setiap ...
Nurfadilah, Khalilah, Ermawati, Ermawati, Ermawati, Basri, Nurzarina   +3 more
core   +3 more sources

ESTIMATING VOLATILITY CLUSTERING USING GJR-GARCH MODEL: A CASE STUDY FOR GERMAN STOCK MARKET [PDF]

Analele Universităţii Constantin Brâncuşi din Târgu Jiu : Seria Economie, 2022
The purpose of this article is to concentrate on the stylized data in the financial series of the major index DAX of the German stock market. Moreover, we investigated the effects of positive and negative news on the volatility of the stock market of ...
RACHANA BAID, CRISTI SPULBAR, JATIN TRIVEDI, RAMONA BIRAU, ANCA IOANA IACOB (TROTO)   +4 more
doaj  

Comparing GARCH Models by Introducing Fuzzy Asymmetric Realized GARCH [PDF]

مدلسازی اقتصادسنجی, 2018
Estimation of conditional variance has lots of application reflecting economic, especially financial economics, social economics and political economics’ risk and volatility research.
Esmaiel Abounoori, Mohammad Amin Zabol
doaj   +1 more source

Beta Forecasting With Realized Beta Estimators and Machine Learning Algorithms

Journal of Forecasting, EarlyView.
ABSTRACT This paper applies machine learning algorithms to the modeling of realized betas for the purposes of forecasting stock systematic risk. Higher levels of beta forecast accuracy are demonstrated, relative to other studies in the literature. These improvements are also highly significant, both statistically and economically.
Bao Doan, Dulani Jayasuriya, John B. Lee, Jonathan J. Reeves   +3 more
wiley   +1 more source

Parameter estimates for two-state MS-GJR-GARCH(1,1) model with skewed Student’s-t distribution.

, 2018
Parameter estimates for two-state MS-GJR-GARCH(1,1) model with skewed Student’s-t distribution.
Haslifah M. Hasim (4839987), Hongsheng Dai (819650), Marius Galabe Sampid (5439320)   +2 more
core   +1 more source

Comparison of Symmetrical; Asymmetrical; and Logarithmic Models Using GARCH; GJR-GARCH; and EGARCH Method in Forecasting Indonesia–USA Currency Volatility

Ekonometria
Aim: The main object of this study was to present a comparison between GARCH models, i.e. the standard GARCH model, asymmetric GJR-GARCH, and logarithmic EGARCH on exchange rate (IDR/USD) volatility.
Juwita Suwondo, Rern-Jay Hung, Eko Yuni Prihantono, Renaldi   +3 more
doaj   +1 more source