نتایج جستجو برای: based on a garch model

تعداد نتایج: 16404985  

2012
Jian Hua Sebastiano Manzan

The aim of this paper is to forecast (out-of-sample) the distribution of financial returns based on realized volatility measures constructed from high-frequency returns. We adopt a semi-parametric model for the distribution by assuming that the return quantiles depend on the realized measures and evaluate the distribution, quantile and interval forecasts of the quantile model in comparison to a...

1997
Steven L. Heston John M. Olin Saikat Nandi

This paper develops a closed-form option pricing formula for a spot asset whose variance follows a GARCH process. The model allows for correlation between returns of the spot asset and variance and also admits multiple lags in the dynamics of the GARCH process. The single-factor (one-lag) version of this model contains Heston’s (1993) stochastic volatility model as a diffusion limit and therefo...

پایان نامه :وزارت علوم، تحقیقات و فناوری - دانشگاه دریانوردی و علوم دریایی چابهار - دانشکده ادبیات و زبانهای خارجی 1390

abstract cooperative learning refers to small groups of learners working together as a team to solve a problem, complete a task, or accomplish a common goal. in a cooperative environment one’s success is directly related to the success of other members because the focus on the individual shifts towards the group. to test the effectiveness of the method, using jigsaw technique, a study was cond...

Journal: :APJOR 2010
Xinhong Lu Ken-ichi Kawai Koichi Maekawa

This paper attempts to model the behavior of 1-minute high frequency exchange rate data of 5 currencies : the Japanese Yen, the Australian Dollar, the Canadian Dollar, the Euro, the Pound sterling against the US Dollar, on 21 July 2005 when the Chinese Yuan was revaluated. The data shows the following distinctive features: (1) There is a large jump at the time of the Yuan revaluation, (2) Large...

پایان نامه :وزارت علوم، تحقیقات و فناوری - دانشگاه سیستان و بلوچستان - دانشکده ادبیات و علوم انسانی 1392

for any educational program to be successful, many factors work hand in hand. based on pervious efl studies, teachers and learners are the keys to gain achievement. granted the fact that explicit and implicit practice plays a key role in education, knowledge of it can help teachers facilitate students’ vocabulary learning. this study investigated to determine the contribution of explicit and i...

2015
Ching Mun Lim Siok Kun Sek

We conduct empirical analyses to model the volatility of stock market in Malaysia. The GARCH type models (symmetric and asymmetric GARCH) are used to model the volatility of stock market in Malaysia. Their performances are compared based on three statistical error measures tools, i.e. mean squared error, root means squared error and mean absolute percentage error for in sample and out sample an...

2011
Shian-Chang Huang

This research estimates portfolio VaR (Value-at-Risk) on G7 exchange rates using a GJR-GARCH-EVT (extreme value theory)-Copula based approach. We first extracts the filtered residuals from each return series via an asymmetric GJR-GARCH model, then constructs the semi-parametric empirical marginal cumulative distribution function (CDF) of each asset using a Gaussian kernel estimate for the inter...

پایان نامه :دانشگاه تربیت معلم - تهران - دانشکده علوم 1393

in this thesis, structural, electronical, and optical properties of inverse pervskite(ca3pbo) in cubic phase have been investigated.the calculation have been done based on density functional theory and according to generalized gradiant approximate (gga) as correlating potential. in order to calculate the configurations, implementing in the wien2k code have been used from 2013 version. first of ...

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