Results 71 to 80 of about 13,849,659 (169)
Hedging performance for BRICS futures : a copula-based GJR-GARCH model
, 2014 碩士金磚五國(BRICS)在近幾年憑藉天然資源、勞動人力等優勢，已成全球經濟增長的重要源頭。與五國市場相關的衍生性商品受到投資人的青睞，其中，金磚五國的交易所推出的股價指數期貨，提供了股票持有人一個良好的避險工具，如何進行有效的避險，為本文研究探討的重點。 本文現貨與期貨的研究資料使用巴西IBOVESPA指數、俄羅斯RTS指數、印度S&P CNX NIFTY指數、中國CSI300指數以及南非FTSE/JSE Shareholder Weighted Top40 指數。本文主要採用Copula-based
柯星妤; Ke, Hsing-Yu
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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
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A multivariate generalized independent factor GARCH model with an application to financial stock returns [PDF]
, 2008 We propose a new multivariate factor GARCH model, the GICA-GARCH model , where the data are assumed to be generated by a set of independent components (ICs).
García-Ferrer, Antonio +2 more
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The Lahore Journal of Business, 2012 This article studies the ability of the GARCH family of models to accurately forecast the volatility of S&P500 stock index returns across the financial crisis that affected markets in 2003–07.
Mahreen Mahmud
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Estimating and Forecasting Volatility of Financial Time Series in Pakistan with GARCH-type Models
Lahore Journal of EconomicsIn this paper we compare the performance of different GARCH models such as GARCH, EGARCH, GJR and APARCH models, to characterize and forecast financial time series volatility in Pakistan.
G.R. Pasha, Tahira Qasim, Muhammad Aslam
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The impact of economic sentiment on European stock markets
Entrepreneurial Business and Economics ReviewObjective: This article aims to analyse the impact of sentiment indicators reflecting the condition of major economies on the returns and volatility of European developed, emerging, and frontier stock markets.
Anna Czapkiewicz +2 more
doaj +1 more source
LONG-TERM VOLATILITY DYNAMICS OF THE GERMAN STOCK MARKET : INSIGHTS FROM TWO DECADES OF DAILY RETURNS [PDF]
Analele Universităţii Constantin Brâncuşi din Târgu Jiu : Seria EconomieThis study provides an empirical analysis of the volatility dynamics of the Deutscher Aktienindex (DAX) stock index over a 20-year period based on daily observations, specifically from January 2, 2006, to March 20, 2026.
SHAHIL RAZA +6 more
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BarekengCryptocurrencies can be considered an individual asset class due to their distinct risk/return characteristics and low correlation with other asset classes.
Asysta Amalia Pasaribu, Aminatus Sa'adah
doaj +1 more source
A Comparative APARCH Volatility Study of International Markets
EconomiesThis paper compares the daily return volatility by four leading international indices: JSE Top 40, FTSE 100, Nikkei 225 and S&P/ASX 200. The return series are modelled in ARMA process, where ARMA(1,3) values are taken for JSE Top 40 and S&P/ASX 200, ARMA(
Fhulufhedzani Justice Madega +3 more
doaj +1 more source
A Multivariate Generalized Orthogonal Factor GARCH Model [PDF]
The paper studies a factor GARCH model and develops test procedures which can be used to test the number of factors needed to model the conditional heteroskedasticity in the considered time series vector.
Saikkonen, Pentti, Lanne, Markku
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