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MODEL VOLATILITAS GARCH(1,1) DENGAN ERROR STUDENT-T UNTUK KURS BELI EUR DAN JPY TERHADAP IDR
Jurnal MIPA, 2016 Studi ini menyajikan model volatilitas Generalized Autoregressive Conditional Heteroscedasticity (GARCH)(1,1) untuk returns keuangan yang mengasumsikan bahwa returns error berdistribusi Student-t.
F. C. Salim, D. B. Nugroho, B. Susanto
doaj
Alternative Data for Realised Volatility Forecasting: Limit Order Book and News Stories
International Journal of Finance &Economics, EarlyView.ABSTRACT We examine whether two major alternative data sources, limit order book information and firm‐specific news, provide incremental predictive information for daily realised volatility forecasting within the HAR‐family, using a parsimonious framework to ensure practical implementation and comparability. The framework is designed for practical real‐
Eghbal Rahimikia, Ser‐Huang Poon
wiley +1 more source
Asymmetric multivariate normal mixture GARCH [PDF]
, 2008 An asymmetric multivariate generalization of the recently proposed class of normal mixture GARCH models is developed. Issues of parametrization and estimation are discussed.
Mittnik, Stefan +2 more
core
Risk Forecasting in Shipping Exchange‐Traded‐Fund (ETF) Markets
International Journal of Finance &Economics, EarlyView.ABSTRACT This article examines the risk properties of freight‐derivative‐based exchange‐traded funds (ETFs), focusing on the Breakwave Dry Bulk Shipping ETF (BDRY), and evaluates the accuracy of Value‐at‐Risk (VaR) and Expected Shortfall (ES) forecasts across a range of econometric models.
Christos Katris +2 more
wiley +1 more source
Global Oil and Gas Stocks: Anomalies, Systematic Risks and Mispricing
International Journal of Finance &Economics, EarlyView.ABSTRACT We analyse anomaly and factor risk premia in the global oil and gas (OG) sector, which plays a central role in the global economy through its importance for energy supply, industrial production, and capital markets. Using firm‐level and portfolio data, we examine whether cross‐sectional return patterns reflect systematic risk compensation or ...
Nader Virk +3 more
wiley +1 more source
A Multivariate Generalized Orthogonal Factor GARCH Model [PDF]
The paper studies a factor GARCH model and develops test procedures which can be used to test the number of factors needed to model the conditional heteroskedasticity in the considered time series vector.
Saikkonen, Pentti, Lanne, Markku
core
International Studies of Economics, EarlyView.Abstract This paper examines the link between climate risk, energy consumption, and financial market performance in a sample of emerging countries over the period 2000–2024. The objective is to model the dynamic interactions between these three dimensions, in order to understand the extent to which energy dependence and exposure to climate risks ...
Abdelkader Mohamed Derbali
wiley +1 more source
Accurate Value-at-Risk Forecast with the (good old) Normal-GARCH Model [PDF]
A resampling method based on the bootstrap and a bias-correction step is developed for improving the Value-at-Risk (VaR) forecasting ability of the normal-GARCH model.
Stefan Mittnik +2 more
core
Movement Disorders, EarlyView.Abstract Background Long‐read sequencing and multi‐omic analytical frameworks are increasingly being adopted in rare disease diagnostics. However, clinical workflows comprehensively integrating these methodologies remain uncommon. Objective This study aimed to assess the potential and limitations of integrating long‐read genomic, transcriptomic, and ...
Ugo Sorrentino +23 more
wiley +1 more source
Enhanced 3D Filter‐Exchange Imaging Using Multi‐Slab Acquisition
Magnetic Resonance in Medicine, EarlyView.ABSTRACT Purpose Starting from the implementation of a single‐slice FEXI sequence, a 3D method was developed to accelerate a FEXI experiment and acquire a multi‐slice volume. Methods 3D multi‐slab FEXI divides the volume of interest into different slabs.
Jacopo Frignani +3 more
wiley +1 more source