Dynamical Approach in studying GJR-GARCH (Q,P) Models with Application
Tikrit Journal of Pure Science, 2022 This paper deals with finding stationarity Condition of GJR-GARCH(Q,P) model by using a local linearization technique in order to reduce this non-linear model to a linear difference equation with constant coefficients and then obtain the stationarity ...
Nooruldeen A. Noori, Azher A. Mohammad
doaj +2 more sources
Refining value-at-risk estimates using a Bayesian Markov-switching GJR-GARCH copula-EVT model [PDF]
PLoS ONE, 2018 In this paper, we propose a model for forecasting Value-at-Risk (VaR) using a Bayesian Markov-switching GJR-GARCH(1,1) model with skewed Student's-t innovation, copula functions and extreme value theory.
Marius Galabe Sampid +2 more
exaly +2 more sources
Screening for dual-target enzyme inhibitors derived from Gardenia jasminoides roots, a medicinal and edible plant: investigation of their potential anti-dementia activity [PDF]
Frontiers in NutritionIntroductionGardenia jasminoides root (GJR) is a traditional Chinese plant valued for its dual functions as both a medicinal herb and an edible resource.
Xuanlin Liu +8 more
doaj +2 more sources
Modeling Saudi stock index returns and volatility: a dual approach using GARCH and neural networks [PDF]
Frontiers in Artificial IntelligenceThe financial markets are the drivers of economic growth as they organize savings, bring in foreign investment, and they efficiently allocate resources.
Sukainah AL-Besher, Dania AL-Najjar
doaj +2 more sources
Asymmetric Behavior of Inflation Uncertainty and Friedman-Ball Hypothesis: Evidence from Pakistan [PDF]
Lahore Journal of EconomicsThis paper is a first attempt to measure and analyze inflation uncertainty in Pakistan. It makes several contributions to the literature. In the first stage, using quarterly data from 1976:01 to 2008:02, we model inflation uncertainty as a time-varying ...
Syed Kumail Abbas Rizvi, Bushra Naqvi
doaj +2 more sources
Economic Journal of Emerging Markets, 2011 This study investigates the international price relationship and volatility transmissions between stock index and stock index futures of Malaysia, Hong Kong and Japan. Vector Autoregression (VAR) GJR-GARCH model was applied to the nine years daily price.
ArIsmail bin Ahmad +1 more
doaj +9 more sources
Estimating Value at Risk of Portfolio of Oil and Gold by Copula-GARCH Method [PDF]
تحقیقات مالی, 2014 Copula functions are powerful tools that describe dependence structure of multi- dimension random variables and are considered as one of the newest tools for risk management.
Saeed Fallahpour, Ehsan Ahmadi
doaj +1 more source
Volatility regimes of selected central European stock returns: a Markov switching GARCH approach
Journal of Business Economics and Management, 2022 This paper investigates the weekly stock market data of the Hungarian stock index BUX, the Czech stock index PX and the Polish stock index WIG20 spanning from January 7, 2001 to April 18, 2021.
Michaela Chocholatá
doaj +1 more source
ESTIMASI CVAR PADA PORTOFOLIO SAHAM MENGGUNAKAN METODE GJR-EVT DENGAN PENDEKATAN D-VINE COPULA
E-Jurnal Matematika, 2022 Risk measure using Conditional Value at Risk can be calculate if values that exceeds the p-quantile is known in VaR. The models used to accommodate characteristics of the stock portfolio in this research are EVT-GARCH-D-vine copula and EVT-GJR-D-vine ...
DERY MAULANA +2 more
doaj +1 more source
Journal of the American Society for Horticultural Science, 2022 Gardenia jasminoides, belonging to the Rubiaceae family, is widely distributed and planted in China. It has traditionally been used as an ornamental and medicinal plant in several Asian countries.
Shoufu Gong +2 more
doaj +1 more source