Results 101 to 110 of about 11,660 (201)

Estimated Value-at-Risk Using the ARIMA-GJR-GARCH Model on BBNI Stock

Operations Research: International Conference Series
Stocks are investment instruments that are much in demand by investors as a basis in financial storage. Return and risk are the most important things in investing. Return is a complete summary of investment and the return series is easier to handle than the price series. The movement of risk of loss is obtained from stock investments with profits.
Rizki Apriva Hidayana, Herlina Napitupulu, Sukono Sukono   +2 more
openaire   +1 more source

Valuing Volatility Spillovers [PDF]

forecasting, adcc, volatility spillovers ...
George Milunovich, Susan Thorp
core  

"Structure and Asymptotic Theory for Multivariate Asymmetric Volatility: Empirical Evidence for Country Risk Ratings" [PDF]

Following the rapid growth in the international debt of less developed countries in the 1970s and the increasing incidence of debt rescheduling in the early 1980s, country risk has become a topic of major concern for the international financial community.
Felix Chan, Michael McAleer, Suhejla Hoti   +2 more
core  

Estimating and Forecasting Volatility of Financial Time Series in Pakistan with GARCH-type Models

Lahore Journal of Economics
In 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
doaj  

South African inflation modelling using bootstrapped long short-term memory methods. [PDF]

SN Bus Econ, 2023
Kubheka S.
europepmc   +1 more source

"Modelling and Forecasting Daily International Mass Tourism to Peru" [PDF]

Peru is a South American country that is divided into two parts by the Andes Mountains. The rich historical, cultural and geographic diversity has led to the inclusion of ten Peruvian sites on UNESCO's World Heritage List.
Jose Angelo Divino, Michael McAleer
core  

Modelling the volatility in short and long haul Japanese tourist arrivals to New Zealand and Taiwan [PDF]

This paper estimates the effects of short and long haul volatility (or risk) in monthly Japanese tourist arrivals to Taiwan and New Zealand, respectively.
Chang, C-L., Lim, C., McAleer, M.J.
core   +1 more source

Forecasting Stock Index Volatility: The Incremental Information in the Intraday High-Low Price Range [PDF]

We compare the incremental information content of implied volatility and intraday high-low range volatility in the context of conditional volatilityforecasts for three major market indexes: the S&P 100, the S&P 500, and the Nasdaq 100.
Cameron Truong, Charles Corrado
core  

Mixed-frequency quantile regressions to forecast value-at-risk and expected shortfall. [PDF]

Ann Oper Res, 2023
Candila V, Gallo GM, Petrella L.
europepmc   +1 more source

The GJR-GARCH and EGARCH option pricing models which incorporate the Piterbarg methodology [PDF]

Advances in Economics, Business and Management Research, 2017
Sven T. von Boetticher, Coenraad C.A. Labuschagne   +1 more
openaire   +1 more source