Results 261 to 270 of about 681,470 (291)

Analysis of Stock Volatility Clustering Using ANN

Information Resources Management Journal, 2015
The model building theories broadly categorize the stock index forecasting models into two broad categories: Based on statistical theory consisting models such as Stochastic Volatility model (SV) and General Autoregressive Conditional Heteroskedasticity (GARCH) whereas other one based on artificial intelligence based models, such as artificial neural ...
Manish Kumar, Santanu Das, Sneha Govil
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Common volatility and correlation clustering in asset returns

European Journal of Operational Research, 2007
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS

International Journal of Theoretical and Applied Finance, 1998
The finding of clustered volatility and ARCH effects is ubiquitous in financial data. This paper presents a possible explanation for this phenomenon within a multi-agent framework of speculative activity. In the model, both chartist and fundamentalist strategies are considered with agents switching between both behavioural variants according to ...
LUX T., MARCHESI, MICHELE
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Modelling Volatility Clustering

2019
The conventional regression analysis is linear and centred on the conditional first-order moment. In linear time series econometric models, the variance of the disturbance term is assumed to be constant, or the random disturbance is homoscedastic. The ARMA models are used to estimate conditional expectation of a process given the past information by ...
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Equilibrium analysis of volatility clustering

Journal of Empirical Finance, 2005
Abstract Volatility clustering is a pervasive feature of equity markets. This article studies volatility clustering in an equilibrium setting by generalizing the CRRA and CARA representative agent models of finance. In equilibrium, the market portfolio follows a volatility regime-switching process in which the volatility level is determined by the ...
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Volatility Clustering in U.S. Home Prices [PDF]

Journal of Real Estate Research, 2008
Generalized autoregressive conditional heteroscedasticity (GARCH) effects imply the probability of large losses is greater than standard mean-variance analysis suggests.
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Pension strategy under volatility clustering

2023
This research investigates the effect of volatility clustering on optimal asset allocation in a defined benefit pension scheme. Three models of volatility clustering, GARCH, GJR and EGARCH models, are examined. Model parameters are estimated using a time series of S&P500 returns while the optimal strategy is obtained using the numerical method to ...
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Clustering in U.K. Home Price Volatility

Journal of Housing Research, 2011
Click on the URL link to access the article (may not be free). ; In the wake of the 2007-2009 global financial crisis, there has been heightened interest in correctly gauging the probability of large losses on assets, particularly house prices. If an asset exhibits GARCH effects in its returns, there is a much higher probability of large losses during ...
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Informationskriterien und Volatility Clustering [PDF]

, 2005
An important problem in statistical practise is the selection of a suitable statistical model. In the context of linear ARIMA-models it can be shown that - the validity of certain regu-larity conditions presupposed - the minimization from Black-criterion leads to a consistent choice of the parameters in a model whereas the estimation of the parameter ...
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Volatility forecasts by clustering: Applications for VaR estimation

International Review of Economics & Finance, 2023
Zijin Wang, Peimin Chen, Peng Liu, Chunchi Wu   +3 more
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