Results 21 to 30 of about 1,203 (162)
Modelling Stock Indexes Volatility of Emerging Markets
JISR Management and Social Sciences & Economics, 2017 This study aims to investigate the use of ARCH (autoregressive conditional heteroscedasticity) family models for forecasting volatility of four regional emerging stock markets i.e. KSE 100, BSE-SENSEX, DSE 20 and SSE Composite index.
Farhan Ahmed +2 more
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Using TGARCH, TGARCH-M, EGARCH, EGARCH-M, PGARCH and PGARCH-M models Gaussian and non-Gaussian for modeling (EUR/USD) and (GBP/USD) Exchange Rate [PDF]
, 2020 This paper aims to study characteristics of exchange rate volatility of (EUR/USD) and (GBP/USD) using daily closing prices for two time periods, sub-period form (1 January 2015 until 15 may 2020) and full period from(1 January 2010 until 15 may 2020 ...
Abdullah, Suhail Najm
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Equity market volatility behavior in Sri Lankan context
Kelaniya Journal of Management, 2016 Colombo Stock Exchange (CSE) in Sri Lanka is at its first level of emerging markets. Volatility of emerging markets are considered to be high and characterized by complex features.
P. S. Morawakage, P. D. Nimal
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Cogent Economics & Finance, 2016 This paper empirically compares the usefulness of information included in the volatility index (VIX) against several generalized autoregressive conditional heteroskedasticity (GARCH) models for predicting downside risk in the US stock market.
Chikashi Tsuji
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Estudios Económicos, 2016 En este artículo se aplican las cópulas Clayton y Gumbel con el modelo TGARCH para la distribución marginal de los rendimientos con el objeto de describir la dependencia condicional en las colas entre el precio del petróleo y el índice del mercado de ...
Arturo Lorenzo Valdés +2 more
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Energy Nexus, 2022 The study is an attempt to investigate the impact of crude prices on energy crops; Soyabean, Wheat and Sugarcane for India for the period Jan 2016-Dec 2020.
Rakesh Shahani, Anishka Taneja
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Quantifying Long-Term Volatility for Developed Stock Markets: An Empirical Case Study Using PGARCH Model on Toronto Stock Exchange (TSX) [PDF]
Annals of Dunarea de Jos University. Fascicle I : Economics and Applied Informatics, 2023 High frequency data is a recent entrant to the world of statistics as they relate to the markets. This study measures the volatility of S& P / Toronto index by utilizing the GARCH family models (EGARCH, TGARCH, MGARCH and PGARCH models) using a daily ...
Meher Kumar BHARAT +4 more
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SDÜ Vizyoner Dergisi, 2019 Bu çalışmanın amacı Engel ve Ng (1993) nin işaret ve boyut yanlılığı testleri ile belirlenen asimetrik etkileri dikkate alarak döviz kurlarında yaşanan oynaklığın modellenmesidir.
Hakan Demirgil +2 more
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Comparative Analysis of EGARCH and TGARCH Models in Stock Price Prediction [PDF]
, 2022 Stocks are proof of the value of ownership of a company which are usually sold on the capital market, companies that buy and sell their shares will be easy to find with the existence of the stock market.
Dur, Sajaratud; Fakultas Sains dan Teknologi UIN Sumatera Utara +2 more
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Un modelo TGARCH con una distribución t de Student asimétrica y las hipotesis de racionalidad de los inversionistas bursátiles en Latinoamérica [PDF]
, 2014 We propose an ARCH model of the TGARCH type with an asymmetric Student's t distribution. It is built using the methodology of Fernandez and Steel (1998) and the traditional TGARCH model developed by Zakoian (1994). The model is used to describe series of
Ruiz Porras, Antonio +5 more
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