Results 61 to 70 of about 1,203 (162)
PENERAPAN MODEL THRESHOLD GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSCEDASTIC (TGARCH) DALAM PERAMALAN HARGA EMAS DUNIA [PDF]
, 2015 Ekonomi merupakan aspek penting suatu negara, beragamnya bentuk kegiatan ekonomi menggambarkan pentingnya ekonomi bagi masyarakat. Salah satu kegiatan ekonomi adalah investasi, investasi saat ini sangat beragam salah satunya investasi emas.
Darmawan, Ryaneka
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Calendar anomalies in the Russian stock market
Russian Journal of Economics, 2017 This research note investigates whether or not calendar anomalies (such as the January, day-of-the-week and turn-of-the-month effects) characterize the Russian stock market, which could be interpreted as evidence against market efficiency.
Guglielmo Maria Caporale +1 more
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Pemodelan Return Ihsg Periode 15 September 1998 – 13 September 2013 Menggunakan Threshold Generalized Autoregressive Conditional Heteroskedasticity (Tgarch(1,1)) Dengan Dua [PDF]
, 2013 Pemodelan Return Ihsg Periode 15 September 1998 – 13 September 2013 Menggunakan Threshold Generalized Autoregressive Conditional Heteroskedasticity (Tgarch(1,1)) Dengan Dua Threshold Abstrak Data Time Series Merupakan Data Pengamatan Yang ...
Sholihah, SumaSuci
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Evaluation of VaR Estimates based on ARCH type Models [PDF]
فصلنامه پژوهشهای اقتصادی ایران, 2011 This paper studies four ARCH type models including ARCH, GARCH, EGARCH and TGARCH at Value at Risk (VaR) estimation. The four models were applied to daily Tehran stock market data to assess each model in estimating one day Value at Risk at various ...
Naser Khiabani, Maryam Sarooghi
doaj
Practical Issues in the Analysis of Univariate GARCH Models [PDF]
This paper gives a tour through the empirical analysis of univariate GARCH models for financial time series with stops along the way to discuss various practical issues associated with model specification, estimation, diagnostic evaluation and ...
Eric Zivot
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, 2022 Data finansial yang mengikuti deret waktu akan memiliki pergerakan yang selalu berubah disetiap waktunya. Pergerakan perubahan tersebut memiliki keragaman atau volatilitas yang setiap waktunya tidak konstan.
Rabbaniyah, Fithra
core
Ensayos Revista de Economía, 2012 Esta investigación presenta un estudio comparativo de los rendimientos cambiarios latinoamericanos, en el que se usó la metodología de cointegración de Johansen y los modelos asimétricos TGARCH y EGARCH.
Arturo Lorenzo Valdés +1 more
doaj
Volatility dynamics of cryptocurrencies: a comparative analysis using GARCH-family models
Future Business JournalCryptocurrency markets have evolved into a vital segment of the global financial ecosystem, drawing considerable interest from both investors and regulatory bodies.
Çağlar SÖZEN
doaj +1 more source
ComTechThe Autoregressive Integrated Moving Average with Exogenous Variables (ARIMAX) method assumes a homogeneous residual variance, but data with high volatility can cause violations of this assumption.
Yenni Angraini +2 more
doaj +1 more source
O Programa Brasileiro de Biodiesel e o Risco Associado ao Preço da Mamona em Irecê, Bahia
Revista de Economia e Sociologia Rural, 2015 Resumo: O presente estudo buscou verificar se os preços da mamona no estado da Bahia estão sujeitos à instabilidade estrutural e se a implementação do Programa Nacional de Produção e Uso do Biodiesel (PNPB) elevou tal instabilidade.
Marcelo Dias Paes Ferreira +2 more
doaj +1 more source