Results 81 to 90 of about 1,347 (161)

Modeling Saudi stock index returns and volatility: a dual approach using GARCH and neural networks

Frontiers in Artificial Intelligence
The 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   +1 more source

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

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

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

Symmetric and asymmetric GARCH estimations of the impact of oil price uncertainty on output growth: evidence from the G7. [PDF]

Lett Spat Resour Sci, 2023
Alao RO, Alhassan A, Alao S, Olanipekun IO, Olasehinde-Williams GO, Usman O.   +5 more
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

Asymmetric Behavior of Inflation Uncertainty and Friedman-Ball Hypothesis: Evidence from Pakistan

Lahore Journal of Economics
This 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  

Traffic Volatility Forecasting Using an Omnibus Family GARCH Modeling Framework. [PDF]

Entropy (Basel), 2022
Ou J, Huang X, Zhou Y, Zhou Z, Nie Q.
europepmc   +1 more source