Gold Return Volatility Modeling Using Garch
نویسندگان
چکیده
منابع مشابه
Modeling Gold Volatility: Realized GARCH Approach
F orecasting the volatility of a financial asset has wide implications in finance. Conditional variance extracted from the GARCH framework could be a suitable proxy of financial asset volatility. Option pricing, portfolio optimization, and risk management are examples of implications of conditional variance forecasting. One of the most recent methods of volatility forecasting is Real...
متن کاملEfficient Semiparametric Garch Modeling of Financial Volatility
We consider a class of semiparametric GARCH models with additive autoregressive components linked together by a dynamic coefficient. We propose estimators for the additive components and the dynamic coefficient based on spline smoothing. The estimation procedure involves only a small number of least squares operations, thus it is computationally efficient. Under regularity conditions, the propo...
متن کاملPredictability of Stock Return Volatility from GARCH Models
This paper focuses on the performance of various GARCH models in terms of their ability of delivering volatility forecasts for stock return data. Volatility forecasts obtained from a variety of mean and variance specifications in GARCH models are compared to a proxy of actual volatility calculated using daily data. In-sample tests suggest that a regression of volatility estimates on actual vola...
متن کاملModeling Stock Market Volatility Using Univariate GARCH Models: Evidence from Bangladesh
This paper investigates the nature of volatility characteristics of stock returns in the Bangladesh stock markets employing daily all share price index return data of Dhaka Stock Exchange (DSE) and Chittagong Stock Exchange (CSE) from 02 January 1993 to 27 January 2013 and 01 January 2004 to 20 August 2015 respectively. Furthermore, the study explores the adequate volatility model for the stoc...
متن کاملGold price volatility: A forecasting approach using the Artificial Neural Network-GARCH model
One of the most used methods to forecast price volatility is the generalized autoregressive conditional heteroskedasticity (GARCH) model. Nonetheless, the errors in prediction using this approach are often quite high. Hence, continued research is conducted to improve forecasting models employing a variety of techniques. In this paper, we extend the field of expert systems, forecasting, and mode...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Indonesian Journal of Mathematics Education
سال: 2019
ISSN: 2654-346X,2654-3907
DOI: 10.31002/ijome.v2i1.1222