Results 31 to 40 of about 1,203 (162)
Conditional probability of jumps in oil prices
Revista Mexicana de Economía y Finanzas Nueva Época REMEF, 2021 The objective of this research is to model the behavior of oil returns. The volatility of oil returns is described through a TGARCH process. Conditional probability jumps are incorporated through uniform, double exponential and normal jump intensity ...
Arturo Lorenzo-Valdés
doaj +1 more source
Bitcoin ve Ethereum Piyasasında Takvim Anomalilerinin İncelenmesi
Selçuk Üniversitesi Sosyal Bilimler Meslek Yüksekokulu DergisiModern finans teorisinin köşe taşlarından biri olan Etkin Piyasa Hipotezi, piyasada mevcut olan tüm bilginin kullanılması suretiyle piyasanın üzerinde getiri elde edilemeyeceğini öne sürmektedir. Bununla birlikte finansal piyasalarda yapılan çalışmaların
Arzu Özmerdivanlı
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Day-of-the-week effect on the Tunisian stock market return and volatility
Cogent Business & Management, 2016 In this paper, we examine empirically the day-of-the-week effect on the Tunisian stock exchange index (TUNINDEX) return and volatility. We use three multivariate general autoregressive conditional heteroscedasticity models (GARCH (1,1), EGARCH (1,1), and
Abdelkader Derbali, Slaheddine Hallara
doaj +1 more source
Journal of Management and Business Review, 2017 Penelitian ini bertujuan mengkaji asymmetric volatility spillover phenomenon dalam mekanisme transmisi spillover volatilitas return dari pasar saham Jepang kepada pasar saham Indonesia.
Petra Minurvia Yudha
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Modelling the Efficiency of TGARCH Model in Nigeria Inflation Rate
, 2021 In general, volatility is known and referred to as variance and it is a degree of spread of a random variable from its mean value. Two volatility models were considered in this paperwork.
Olayemi, Michael Sunday +3 more
core
Application of Threshold Generalized Autoregressive Conditional Heteroscedastic (TGARCH) Model in Forecasting the LQ45 Stock Price Return [PDF]
, 2023 Economics is one of the most important fields for a country. One of the activities that illustrate the importance of the economy in a country is an investment.
Nazarudin, Jaka +3 more
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Modelling Stock Market Volatility: Evidence from India [PDF]
Managing Global Transitions, 2015 This study empirically investigates the volatility pattern of Indian stock market based on time series data which consists of daily closing prices of S&P CNX Nifty Index for ten years period from 1st January 2003 to 31st December 2012.
Karunanithy Banumathy +1 more
doaj
A New Implementation of Network GARCH Model for Stock Volatility and Co‐Volatility Forecasting
Journal of Forecasting, EarlyView.ABSTRACT Volatility clustering and spillovers are key features of financial time series with many cross‐sectional assets. While network analysis links similar or correlated stocks and helps trace volatility spillovers, contemporary multivariate ARCH‐GARCH formulations struggle to represent structured network dependence and remain parsimonious.
Peiyi Zhou
wiley +1 more source
PEMODELAN RETURN INDEKS HARGA SAHAM GABUNGAN MENGGUNAKAN THRESHOLD GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSCEDASTICITY (TGARCH) [PDF]
, 2016 Model ARIMA adalah salah satu pemodelan yang dapat diterapkan pada data runtun waktu. Dalam pemodelan ARIMA terdapat asumsi bahwa varian residualnya konstan.
SAIDA, MAIDIAH DWI NARURI
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International Review of Finance, Volume 26, Issue 3, September 2026.ABSTRACT The first half of the 2020's has seen a degree of economic and geo‐political uncertainty not observed since the 1970s. This paper looks at how listed real estate is exposed to capital market shocks by estimating Conditional Value‐at‐Risk (CoVaR), which captures the sensitivity of real estate returns to extreme movements in broader equity ...
Stanimira Milcheva +2 more
wiley +1 more source