Results 11 to 20 of about 1,203 (162)

Un modelo Tgarch con una distribución t de estudio asimétrica y las hipótesis de racionalidad de los inversionistas bursátiles en Latinoamérica

Revista Economía y Política, 2017
Proponemos un modelo ARCH de tipo TGARCH con una distribución t de Student asimétrica. El mismo se construye usando la metodología de Fernández y Steel (1998) y el modelo TGARCH tradicional desarrollado por Zakoian (1994). El modelo se usa para describir
Arturo Lorenzo Valdés, Antonio Ruiz Porras   +1 more
doaj   +2 more sources

A PERAMALAN VOLATILITAS RETURN NILAI TUKAR RUPIAH TERHADAP US DOLLAR MENGGUNAKAN METODE EGARCH, TGARCH, DAN APARCH

E-Jurnal Matematika
Exchange rates play a crucial role among macroeconomic variables, exerting a significant influence on a country's economic landscape. Fluctuations in these rates can impact a nation's stability and economic activities.
MADE NONIK PRAMESTI KARANA, I WAYAN SUMARJAYA, KARTIKA SARI   +2 more
doaj   +2 more sources

Peramalan Volatilitas dengan Pemodelan EGARCH, TGARCH, dan APARCH dalam Pengukuran Estimasi Risiko Saham Sektor Keuangan [PDF]

, 2023
Data finansial yang mengikuti deret waktu memiliki keragaman atau volatilitas yang setiap waktunya tidak konstan. Keadaan ini disebut sebagai heteroskedastisitas.
Azmi, Ulil; Departemen Aktuaria Institut Teknologi Sepuluh Nopember Surabaya, Rabbaniyah, Fithra; Departemen Aktuaria Institut Teknologi Sepuluh Nopember Surabaya   +1 more
core   +4 more sources

The impact of ESG news on the volatility of the Portuguese stock market—Does it change during recessions?

Business Strategy and the Environment, Volume 32, Issue 8, Page 5821-5832, December 2023., 2023
Abstract This paper assesses how environmental, social, and governance (ESG) news influence Portuguese stock market volatility depending on the business cycle. Given the lack of an adequate index to capture the effects of ESG media on the Portuguese stock market, a News Sentiment Index is developed.
Cássio Zanatto, Margarida Catalão‐Lopes, Joaquim P. Pina, Inês Carrilho‐Nunes   +3 more
wiley   +1 more source

The determinants of stock–bond return correlations

Journal of Financial Research, Volume 46, Issue 3, Page 711-732, Fall 2023., 2023
Abstract I study the options‐implied market risks that affect US stock–bond correlations from 2007 to 2021. I discover that US stock and bond market uncertainty, stock market tail risk, and global credit‐default risk are dominant contributors to changing stock–bond correlations during the global financial crisis (GFC) period.
Ghulam Sarwar
wiley   +1 more source

Is inflation uncertainty a self‐fulfilling prophecy in South Africa?

South African Journal of Economics, Volume 91, Issue 3, Page 306-329, September 2023., 2023
Abstract Inflation uncertainty causes macroeconomic ills and instability in the economy. This paper investigates if rising levels of inflation uncertainty serve as a source of higher inflation outcomes or vice versa, to determine if inflation uncertainty is potentially a self‐fulfilling prophecy. In addition, this paper examines the impact of inflation
Chevaughn van der Westhuizen, Reneé van Eyden, Goodness C. Aye   +2 more
wiley   +1 more source

A novel interpretable model ensemble multivariate fast iterative filtering and temporal fusion transform for carbon price forecasting

Energy Science &Engineering, Volume 11, Issue 3, Page 1148-1179, March 2023., 2023
A novel hybrid model is proposed for carbon price forecasting. The effects of exogenous variables on carbon prices are considered at different time scales. Advanced multifactor interpretable models are used for the first time in carbon price forecasting. Analyzing the importance of exogenous variables and the time dependence in carbon price forecasting
Yue Wang, Zhong Wang, Xinyu Kang, Yuyan Luo   +3 more
wiley   +1 more source

Modelling gold price using ARIMA-TGARCH [PDF]

, 2016
Statistical models can be used to characterize numerical data so as to understand its behavior and pattern. Gold price model, for example, can give signals to investors as to when they should enter and/or exit the market.
Siti Roslindar, Yaziz, Noor Azlinna, Azizan, Maizah Hura, Ahmad, Roslinazairimah, Zakaria   +3 more
core   +1 more source

Prediction of the Stock Prices at Uganda Securities Exchange Using the Exponential Ornstein–Uhlenbeck Model

International Journal of Mathematics and Mathematical Sciences, Volume 2023, Issue 1, 2023., 2023
We use the exponential Ornstein–Uhlenbeck model to predict the stock price dynamics over some finite time horizon of interest. The predictions are the key to the investors in a financial market because they provide vital reference information for decision making. We estimated all the parameters of the model (mean reversion speed, long‐run mean, and the
Juma Kasozi, Erina Nanyonga, Fred Mayambala, Jewgeni Dshalalow   +3 more
wiley   +1 more source

Normal mixture quasi maximum likelihood estimation for non-stationary TGARCH(1,1) models [PDF]

, 2014
Although quasi maximum likelihood estimator based on Gaussian density (G-QMLE) is widely used to estimate GARCH-type models, it does not perform successfully when error distribution is either skewed or leptokurtic.
Wang, Hui, Pan, Jiazhu
core   +4 more sources