This study aims to analyze the level of beef price volatility before fasting (D-7) after Eid (H + 7) in Jambi City, and compile a forecast model. used survey method for traders Angso Duo market, City. The analysis calculate prices is ARCH (Autoregressive Conditional Heteroscedastic) model GARCH (Generalized Autoregressive Heteroscedasticity) analysis. average during period City was IDR 124,147 ...

The aim of this article is to investigate the dynamic correlation between the Global Economic Policy Uncertainty index (GEPU) and Non-Performing Loans (NPL) in Iran. The relationship between economic uncertainty and banking performance indices is significant because of the systemic importance of banks in every economy. We evaluated this relationship in this developing country, especially under ...

The aim of this paper is to analyze the monetary transmission mechanism through the influence of exchange rate variability on export volume. To date it has been very common to use “historical volatility” as an approximation for exchange rate variability in empirical studies. However, many macroeconomic time series are characterized by heteroskedasticity, i.e. their variance is not constant over...

Artificial Neural Networks (ANNs) are very powerful tool in modern quantitative finance and have immerged as a powerful statistical modeling technology. This paper focuses on the problem of estimation of volatility of Indian Stock market. It begins with volatility calculation by Auto Regressive Conditional Heteroscedastic (ARCH), & Generalized Autoregressive Conditional Heteroscedasticity (GARC...

Abstract We introduce a novel score-driven model with two sources of shock, allowing for both time-varying volatility and jumps. A theoretical investigation is performed which yields sufficient conditions to ensure stationarity ergodicity. extend the consider jump intensity. Both an in-sample out-of-sample analysis based on S&P500 time series show that proposed methodology provides excellen...

This paper analyses how outliers affect the identification of conditional heteroscedasticity and the estimation of generalized autoregressive conditionally heteroscedastic (GARCH) models. First, we derive the asymptotic biases of the sample autocorrelations of squared observations generated by stationary processes and show that the properties of some conditional homoscedasticity tests can be di...

Godfrey (1996, Journal of Econometrics 72, 275}299) has shown that the Glejser test for heteroskedasticity is valid only under conditional symmetry. Here, modi"cations of the Glejser test are suggested. The proposed test statistics are asymptotically valid even when the disturbances are not symmetrically distributed and can be used to test for heteroskedasticity when conditional location functi...