Results 251 to 260 of about 10,202,946 (277)

Volatility in the Nigerian Stock Market: Empirical application of Beta-t-GARCH variants

2016
The Generalized Autoregressive Score (GAS), Exponential GAS (EGAS) and Asymmetric Exponential GAS (AEGAS) are new classes of volatility models that simultaneously account for jumps and asymmetry. Using these models, we estimate the dynamic pattern of the Nigeria All Share Index (ASI) from January 3, 2006 to July 22, 2014.
Yaya, OlaOluwa S., Bada, Abiodun S., Atoi, Ngozi V.   +2 more
openaire   +1 more source

Would student's t-GARCH improve VaR estimates?

2005
unknown ...
openaire   +1 more source

Maximum Likelihood Estimation of Gaussian and Student’s $ t $ GARCH: A Unified Penalty Method

IEEE Transactions on Signal Processing
Chenyu Gao, Ziping Zhao 0002, Daniel P. Palomar   +2 more
openaire   +1 more source

Estimating yield spreads volatility using GARCH-type models

North American Journal of Economics and Finance, 2021
Hojin Jung, Jong-Min Kim
exaly  

Persistence in Variance, Structural Change, and the GARCH Model

Journal of Business and Economic Statistics, 1990
William D Lastrapes
exaly  

Volatility forecasting of crude oil market: Can the regime switching GARCH model beat the single-regime GARCH models?

International Review of Economics and Finance, 2019
Yue-Jun Zhang, Ling-Yun He
exaly  

Augmented GARCH (p,q) process and its diffusion limit

Journal of Econometrics, 1997
Jin-Chuan Duan
exaly  

Closing the GARCH gap: Continuous time GARCH modeling

Journal of Econometrics, 1996
Bas J M Werker, Feike C Drost
exaly  

Can economic policy uncertainty predict exchange rate volatility? New evidence from the GARCH-MIDAS model

Finance Research Letters, 2020
Zhongbao Zhou
exaly  

Comprehensive evaluation of ARMA–GARCH(-M) approaches for modeling the mean and volatility of wind speed

Applied Energy, 2011
Ergin Erdem
exaly