TÜRKİYE’DE ENFLASYON VE ENFLASYON BELİRSİZLİĞİ: EGARCH MODELLEMESİNDEN KANIT
نویسندگان
چکیده
منابع مشابه
On the Invertibility of EGARCH
Of the two most widely estimated univariate asymmetric conditional volatility models, the exponential GARCH (or EGARCH) specification can capture asymmetry, which refers to the different effects on conditional volatility of positive and negative effects of equal magnitude, and leverage, which refers to the negative correlation between the returns shocks and subsequent shocks to volatility. Howe...
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We provide a simple, yet highly effective framework for forecasting return volatility by combining exponential generalized autoregressive conditional heteroscedasticity models with data on the range. Using Standard and Poor’s 500 index data for 1983–2004, we demonstrate the importance of a long-memory specification, based on either a two-factor structure or fractional integration, that allows f...
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One of the most popular univariate asymmetric conditional volatility models is the exponential GARCH (or EGARCH) specification. In addition to asymmetry, which captures the different effects on conditional volatility of positive and negative effects of equal magnitude, EGARCH can also accommodate leverage, which is the negative correlation between returns shocks and subsequent shocks to volatil...
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ژورنال
عنوان ژورنال: Uluslararası İktisadi ve İdari İncelemeler Dergisi
سال: 2018
ISSN: 1307-9832
DOI: 10.18092/ulikidince.451734