risk prediction plays an increasing role in financial risk management. this study aims to investigate existence of asymmetry and long memory volatility in tehran stock exchange index daily data over period of 1998-2006. 1467 daily index returns are used for volatility modeling via garch (long & short memory) processes for both normal and t-student innovations. the specification and forecasting ...

In this paper we engineer an information mapping of transmission linkages across various European government bond markets. The research introduces a calibration methodology for the application of an optimizing radial basis function (RBF) artificial neural network (ANN). Utilizing a closed-form derivation of the regularization parameter, the Kajiji-4 RBF ANN is known to efficiently minimize the ...

Seasonal production, weather abnormalities, and high perishability introduce a degree of volatility to potato prices. Price is said be asymmetric when positive negative shocks the same magnitude affect it in dissimilar way. GARCH symmetric model, cannot capture price volatility. EGARCH, APARCH, GJR-GARCH models are popularly used In this paper, an attempt made model weekly wholesale modal potat...

improved the exposition, but they are in no way responsible for remaining flaws. Engle's footsteps range widely. His major contributions include early work on band-spectral regression, development and unification of the theory of model specification tests (particularly Lagrange multiplier tests), clarification of the meaning of econometric exogeneity and its relationship to causality, and his l...