Results 41 to 50 of about 1,433 (209)

Modeling Nonstationary Financial Volatility with the R Package tvgarch

Journal of Statistical Software
Certain events can make the structure of volatility of financial returns to change, making it nonstationary. Models of time-varying conditional variance such as generalized autoregressive conditional heteroscedasticity (GARCH) models usually assume ...
Susana Campos-Martins, Genaro Sucarrat
doaj   +1 more source

Identification of structural multivariate GARCH models

Journal of Econometrics, 2022
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Hafner, Christian M., Herwartz, Helmut, Maxand, Simone   +2 more
openaire   +7 more sources

Multivariate GARCH models with spherical parameterizations: an oil price application

Financial Innovation
In popular Baba-Engle-Kraft-Kroner (BEKK) and dynamic conditional correlation (DCC) multivariate generalized autoregressive conditional heteroskedasticity models, the large number of parameters and the requirement of positive definiteness of the ...
Luca Vincenzo Ballestra, Riccardo De Blasis, Graziella Pacelli   +2 more
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Ainda os modelos GARCH

Economia Aplicada, 2002
This article summarizes the huge literature on GARCH Models. It is a survey on this subject to spread those models throughout the Portuguese readers.
Rodrigo De Losso da Silveira Bueno
doaj  

Multivariate Asymmetric GARCH Model with Dynamic Correlation Matrix

Финансы: теория и практика, 2022
This study examines the problem of modeling the joint dynamics of conditional volatility of several financial assets under an asymmetric relationship between volatility and shocks in returns (leverage effect).
Ju. S. Trifonov, B. S. Potanin
doaj   +1 more source

On the forecasting accuracy of multivariate GARCH models [PDF]

Journal of Applied Econometrics, 2011
SUMMARYThis paper addresses the question of the selection of multivariate generalized autoregressive conditional heteroskedastic (GARCH) models in terms of variance matrix forecasting accuracy, with a particular focus on relatively large‐scale problems.
Laurent, Sébastien, Rombouts, Jeroen V. K., VIOLANTE, FRANCESCO   +2 more
openaire   +5 more sources

Modeling Multivariate Volatility Processes: Theory and Evidence [PDF]

Theoretical and Applied Economics, 2009
This article presents theoretical and empirical methodology for estimation and modeling of multivariate volatility processes. It surveys the model specifications and the estimation methods.
Jelena Z. Minovic
doaj   +1 more source

The Study of long-Term Memory in Dynamic Volatility Relationship between Stock Returns and Exchange Rates [PDF]

Journal of Asset Management and Financing, 2018
Nowadays, the issue of how to choose an appropriate system of currency exchange can be considered as one the pivots of macroeconomic policies and, in turn, currency fluctuation turns to one of the most crucial concerns of each country’s foreign commerce.
dariush damoori, Negar Mirzad
doaj   +1 more source

Using MGARCH to Estimate Value at Risk [PDF]

تحقیقات مالی, 2013
In this paper we compared multivariate GARCH models toestimate Value-at-Risk. We used a portfolio of weekly indexesincluding TEDPIX, KLSE, XU100 during ten years. To estimateValue-at-Risk, first we estimated CCC, DCC of Engle, DCC of Tseand Tsui, Dynamic
Mohammad Reza Rostami, Fatemeh Haqiqi
doaj   +1 more source

Symmetry and Asymmetry Multivariate Garch Modeling of Consumer Prices Index, Crude Oil Price, Inflation Rate and Exchange Rate [PDF]

, 2023
L. Wiri, Archibong M.E.
openalex   +1 more source