Results 111 to 120 of about 1,408,945 (162)
Estimation of temporally aggregated multivariate GARCH models [PDF]
This paper investigates the performance of quasi maximum likelihood (QML) and nonlinear least squares (NLS) estimation applied to temporally aggregated GARCH models.Since these are known to be only weak GARCH, the conditional variance of the aggregated ...
Hafner, C.M., Rombouts, J.V.K.
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MERCADOS FINANCEIROS: SISTEMA CAÓTICO OU ALEATÓRIO?
Revista de Economia Mackenzie, 2010 O presente artigo busca confrontar duas visões a respeito do comportamento dos preços dos ativos no mercado financeiro. De um lado, teremos a hipótese dos mercados eficientes ilustrada pelos modelos CAPM e Garch.
Emílio Flávio Guerra Gomes +1 more
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Análisis de la volatilidad de series financieras mediante modelos ARMA-GARCH
, 2015 En este trabajo se estima la volatilidad de un conjunto de índices bursátiles analizando su impacto sobre la predicción extramuestral. Para ello se utilizan modelos ARMA-GARCH y APARCH, analizando el impacto ejercido por la volatilidad, la existencia de efecto asimétrico y la falta de normalidad de la distribución del error.
Ferrando Latorre, Sandra +2 more
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Pronóstico de volatilidad de la TRM mediante un modelo híbrido LSTM-GARCH
, 2019 This work proposes a hybrid LSTM-GARCH model to forecast the volatility of the USD-COP exchange rate, known as tasa representativa del mercado (TRM). This model is a LSTM recurrent neural network which includes coefficients of time series models GARCH, EGARCH and EWMA for the TRM as explanatory variables, according to the framework from Kim et al. 2018.
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BAYESIAN ESTIMATION OF THE GAUSSIAN MIXTURE GARCH MODEL [PDF]
In this paper, we perform Bayesian inference and prediction for a GARCH model where the innovations are assumed to follow a mixture of two Gaussian distributions.
María Concepcion Ausin, Pedro Galeano
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Modelling of volatility of stock prices using GARCH models & its importance in portfolio construction [PDF]
, 2009 Includes bibliographical references (leaves 93-96).This thesis is aimed at investigating the possibility to model the risk of stocks in financial markets and evaluating the adequacy and effectiveness of univariate GARCH models such as the symmetric GARCH
Mtemeri, Tinotenda
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A multivariate generalized independent factor GARCH model with an application to financial stock returns [PDF]
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).
Antonio García-Ferrer +2 more
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Modelación de la volatilidad y pronóstico del precio del café
Revista Ingenierías Universidad de Medellín, 2006 En este trabajo se presenta una revisión del modelo GARCH (heteroscedasticidad condicional autorregresiva generalizada) y se dan algunas propiedades del proceso con sus demostraciones.
Fredy Ocaris Pérez Ramírez
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Aplicação dos modelos GARCH, EGARCH e TGARCH no DAX-30
, 2017 Este trabalho avalia o tema da volatilidade aplicada ao mercado bolsista internacional DAX-30. Volatilidade de um ativo é uma das informações mais importantes para os investidores do mercado financeiro. Volatilidade refere-se às oscilações de uma determinada variável ao longo do tempo.
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