Results 181 to 190 of about 11,660 (201)

Short-Term Electricity Price Forecasting Using Hybrid SARIMA and GJR-GARCH Model

2017
The liberalization of the power markets gained a remarkable momentum in the context of trading electricity as a commodity. With the upsurge in restructuring of the power markets, electricity price plays a dominant role in the current deregulated market scenario which is majorly influenced by the economics being governed. Electricity price has got great
Vipin Kumar, Nitin Singh, Deepak Kumar Singh, S. R. Mohanty   +3 more
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On a GJR-GARCH Model with the Standardized Pearson Type IV Distribution

SSRN Electronic Journal, 2013
We examine the efficiency of a GJR-GARCH model where the residuals follow the standardize Pearson type-IV distribution. As a case study we consider the historical daily close price of the Standard and Poor’s index. The model is tested with a variety of loss functions and the efficiency is examined by application of several Value-at-Risk tests and ...
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GJR-Copula-CVaR Model for Portfolio Optimization: Evidence for Emerging Stock Markets

2018
Abstract T his paper empirically examines the impact of dependence structure between the assets on the portfolio optimization, composed of Tehran Stock Exchange Price Index and Borsa Istanbul 100 Index. In this regard, the method of the Copula family functions is proposed as powerful and flexible tool to determine the structure of
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A Modified GJR-GARCH Model with Information Disseminating Speed

2007 International Conference on Computational Intelligence and Security Workshops (CISW 2007), 2007
Guo Qing Zhao, Jun Wei
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Modelling the Impact of Different COVID-19 Pandemic Waves on Real Estate Stock Returns and Their Volatility Using a GJR-GARCHX Approach: An International Perspective

Journal of Risk and Financial Management, 2021
Mateusz Tomal
exaly  

Analyzing spillover effects of selected cryptocurrencies on gold and brent crude oil under COVID-19 pandemic: Evidence from GJR-GARCH and EVT copula methods

Resources Policy, 2023
Majid Mirzaee Ghazani
exaly  

Gjr-Garch Midas Model Based Analyse Geopolitical Risk and Energy Price Volatility

2023
Chenyao Zhang, Xiaoxing Liu, Xuemei Li, Chun Tang   +3 more
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Measuring extreme risk of sustainable financial system using GJR-GARCH model trading data-based

International Journal of Information Management, 2020
Zou Dong, Rui Liu
exaly  

Kinerja Pencocokan Model Realized GJR-CJ pada Data Aset Keuangan

Volatilitas merupakan indikator utama dalam menilai risiko ketika membuat keputusan investasi. Di dunia pasar keuangan volatilitas mencerminkan tingkat fluktuasi nilai aset keuangan selama periode tertentu. Cara paling umum untuk mengukur potensi kerugian di masa depan dari suatu investasi adalah melalui volatilitas.
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Comparison of forecasting performance between ARIMA-GJR-GARCH-SVR and ARIMA-GJR-GARCH-(LS-SVR) models based on wavelet transform

AIP Conference Proceedings
Bouraida Burhan Kadhum, Firas Ahmmed Mohammed   +1 more
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