Results 61 to 70 of about 1,408,945 (162)
Economía Teoría y Práctica, 2016 En este trabajo se utilizan los modelos arfima y garch, así como combinaciones de ellos para detectar algún tipo de memoria en el tipo de cambio nominal usd-mxn y el Índice de Precios y Cotizaciones de la Bolsa Mexicana de Valores durante el periodo 1991-
Héctor F. Salazar-Núñez +1 more
doaj
Regime switching GARCH models [PDF]
We develop univariate regime-switching GARCH (RS-GARCH) models wherein the conditional variance switches in time from one GARCH process to another. The switching is governed by a time-varying probability, specified as a function of past information.
Luc, BAUWENS +2 more
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Neural Networks for Financial Time Series Forecasting. [PDF]
Entropy (Basel), 2022 Sako K, Mpinda BN, Rodrigues PC.
europepmc +1 more source
Wake me up before you GO-GARCH [PDF]
In this paper we present a new three-step approach to the estimation of Generalized Orthogonal GARCH (GO-GARCH) models, as proposed by van der Weide (2002).
Boswijk, H.P., Weide, R. van der
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Estimation of tail thickness parameters from GJR-GARCH models [PDF]
, 2009 We propose a method of estimating the Pareto tail thickness parameter of the unconditional distribution of a financial time series by exploiting the implications of a GJR-GARCH volatility model.
Iglesias, Emma M. +2 more
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A análise da volatilidade do índice PSI-20 baseada modelos ARCH e GARCH [PDF]
Portuguese Journal of Management Studies, 2003 A volatilidade desempenha um papel importante na avaliação dos activos financeiros, daí que proliferem na literatura estudos com vista a sua especificação e medida. Existem várias técnicas para a estimação da volatilidade sendo a volatilidade determinística uma das mais utilizadas.
Elisabete Mendes Duarte +1 more
openaire +1 more source
Multimodality and the GARCH Likelihood [PDF]
We investigate several aspects of GARCH models which are relevant for empirical applications. In particular, we note that the inclusion of a dummy variable as regressor can lead to multimodality in the GARCH likelihood.
Jurgen A. Doornik, Marius Ooms
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An exponential continuous time GARCH process [PDF]
, 2006 In this paper we introduce an exponential continuous time GARCH(p,q) process. It is defined in such a way that it is a continuous time extension of the discrete time EGARCH(p,q) process. We investigate stationarity and moment properties of the new model.
Haug, Stephan +3 more
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Forecasting of exported volume for brazilian fruits by time series analysis: an arima/garch approach
Revista Produção Online, 2015 The aim of this paper was to offer econometric forecasting models to the Brazilian exported volume fruits, with a view to assisting the planning and production control, also motivated by the existence of a few published papers dealing with this issue. In
Abdinardo Moreira Barreto de Oliveira +1 more
doaj +1 more source
Multimodality in the GARCH Regression Model [PDF]
Several aspects of GARCH(p,q) models that are relevant for empirical applications are investigated. In particular, it is noted that the inclusion of dummy variables as regressors can lead to multimodality in the GARCH likelihood.
Jurgen A. Doornik, Marius Ooms
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