Volatility forecasting using Double-Markov switching GARCH models under skewed Student-t distribution [PDF]
, 2012 Includes bibliographical references.This thesis focuses on forecasting the volatility of daily returns using a double Markov switching GARCH model with a skewed Student-t error distribution.
Mazviona, Batsirai Winmore
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Porównanie bayesowskich modeli Copula-AR(1)-GARCH(1,1) z asymetrycznością rozkładów warunkowych
Zeszyty Naukowe Uniwersytetu Ekonomicznego w Krakowie, 2018 Celem artykułu było formalne porównanie mocy wyjaśniającej dwuwymiarowych bayesowskich modeli Copula-GARCH z warunkowym skośnym oraz symetrycznym rozkładem t-Studenta na przykładzie danych pochodzących z polskiego rynku finansowego.
Justyna Mokrzycka
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GRG Non-Linear and ARWM Methods for Estimating the GARCH-M, GJR, and log-GARCH Models
JTAM (Jurnal Teori dan Aplikasi Matematika), 2022 Numerous variants of the basic Generalized Autoregressive Conditional Heteroscedasticity (GARCH) models have been proposed to provide good volatility estimating and forecasting. Most of the study does not work Excel’s Solver to estimate GARCH-type models.
Didit Budi Nugroho +5 more
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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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ESTIMASI CVAR PADA PORTOFOLIO SAHAM MENGGUNAKAN METODE GJR-EVT DENGAN PENDEKATAN D-VINE COPULA
E-Jurnal Matematika, 2022 Risk measure using Conditional Value at Risk can be calculate if values that exceeds the p-quantile is known in VaR. The models used to accommodate characteristics of the stock portfolio in this research are EVT-GARCH-D-vine copula and EVT-GJR-D-vine ...
DERY MAULANA +2 more
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Application of futures in calculating optimal hedge ratio in crude oil market: Comparison between static and dynamic approaches [PDF]
مدلسازی اقتصادسنجی, 2020 Futures are used as the most important risk hedge tools to reduce the risk of the crude oil market. The optimal hedging risk strategy is determined by calculating the optimal hedging risk ratio.
Simin Aleali +3 more
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Formal Comparison of Copula-AR(1)-t-GARCH(1,1) Models for Sub-Indices of the Stock Index WIG
Przegląd Statystyczny, 2016 Copulas have become one of most popular tools used in modelling the dependencies among financial time series. The main aim of the paper is to formally assess the relative explanatory power of competing bivariate Copula-AR-GARCH models, which differ in assumptions on the conditional dependence structure represented by particular copulas. For the sake of
Justyna Mokrzycka, Anna Pajor
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Accurate Conditional Variance Models for Predicting Asymmetric Volatility in Cryptocurrency Markets
İzmir İktisat DergisiThis study includes tests on the Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model and its derivatives to conduct complex and detailed volatility analysis for the 5 highest-volume cryptocurrencies traded in September 2023. The tests
Onur Çelebi, Erhan Demireli
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Impact Of Structural Shifts on Variance Persistence in Asymmetric Garch Models: Evidence From Emerging Asian and European Markets [PDF]
Revista Română de Statistică, 2015 In this study we examined the effect of structural break points in conditional volatility on variance persistency of asymmetric GARCH models. We used Bai and Perron methodology to detect structural break points in conditional variance of daily stock ...
Altaf Muhammad, Zhang Shuguang
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Analysis of Risk in the Logistics Sector Using Non-linear Time Series in Türkiye
Journal of Transportation and LogisticsThis study examines the risk level of the logistics sector, which is a key sub-component of the service sector in Türkiye, by comparing it with other service sub-sectors that have a high share within the sector, namely retail trade, electricity, gas, and
Sultan Kuzu Yıldırım, Mustafa Can
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