Methods: Using daily exchange rates for 7 years (January 1, 2008, to April 30, 2015), this study attempted to model dynamics following generalized autoregressive conditional heteroscedastic (GARCH), asymmetric power ARCH (APARCH), exponential generalized autoregressive conditional heteroscedstic (EGARCH), threshold generalized autoregressive conditional heteroscedstic (TGARCH), and integrated g...

in this paper rst we dene the notions of positive implicativehyper mv -ideals of types 1,2,3 and 4 in hyper mv -algebras and we investigatethe relationship between of them . then by some examples we show that thesenotions are not equivalent. finally we give some relations between these notionsand the notions of (weak) hyper mv -ideals and (weak) hyper mv -deductivesystems of hyper mv -algebras.

in this paper we characterize hyper mv -algebras in which 0 or1 are scalar elements . we prove that any nite hyper mv -algebra that 0is a scaler element in it, is an mv -algebra. finally we characterize hypermv -algebras of order 2 and order 3.

This paper provides a theoretical explanation for the heteroscedasticity of asset returns. In line with existing empirical results, our model yields an asymmetric relationship between stock return and volatility. Based on the simple assumptions that investors behave according to Prospect Theory and are subject to mental accounting in a dynamic setting, we analytically derive the unit-root versi...

Data finansial yang mengikuti deret waktu memiliki keragaman atau volatilitas setiap waktunya tidak konstan. Keadaan ini disebut sebagai heteroskedastisitas. Metode dapat menyelesaikan masalah tersebut adalah Autoregressive Conditional Heteroscedasticity (ARCH)/Generalized (GARCH). Namun, ARCH/GARCH mengatasi beberapa kasus seperti perbedaan dalam nilai leverage effect. Sehingga dilakukan pemod...

Although quasi maximum likelihood estimator based on Gaussian density (G-QMLE) is widely used to estimate GARCH-type models, it does not perform successfully when error distribution is either skewed or leptokurtic. This paper proposes normal mixture quasi-maximum likelihood estimator (NMQMLE) for non-stationary TGARCH(1, 1) models. We show that, under mild regular conditions, there is no consis...