نتایج جستجو برای: garch model

تعداد نتایج: 2106339  

2011
ELEFTHERIOS GIOVANIS

In the current study we examine the effects of interest rate changes on common stock returns of Greek banking sector. We examine the Generalized Autoregressive Heteroskedasticity (GARCH) process and an Adaptive Neuro-Fuzzy Inference System (ANFIS). The conclusions of our findings are that the changes of interest rates, based on GARCH model, are insignificant on common stock returns during the p...

2003
Markku Lanne Pentti Saikkonen

In this paper we study a new class of nonlinear GARCH models. Special interest is devoted to models that are similar to previously introduced smooth transition GARCH models except for the novel feature that a lagged value of conditional variance is used as the transition variable. This choice of the transition variable is mainly motivated by the desire to find useful models for highly persisten...

2015
Michael Techie Quaicoe Frank B K Twenefour Emmanuel M Baah Ezekiel N N Nortey

This research article aimed at modeling the variations in the dollar/cedi exchange rate. It examines the applicability of a range of ARCH/GARCH specifications for modeling volatility of the series. The variants considered include the ARMA, GARCH, IGARCH, EGARCH and M-GARCH specifications. The results show that the series was non stationary which resulted from the presence of a unit root in it. ...

Journal: :Communications in Statistics - Simulation and Computation 2010
Yushu Li Ghazi Shukur

In this paper, we propose a Nonlinear Dickey-Fuller test for unit root against first order Logistic Smooth Transition Autoregressive LSTAR (1) model with time as the transition variable. The Nonlinear Dickey-Fuller test statistic is established under the null hypothesis of random walk without drift and the alternative model is a nonlinear LSTAR (1) model. The asymptotic distribution of the test...

2013
Geert Bekaert Eric Engstrom Andrey Ermolov

We propose an extension of standard asymmetric volatility models in the generalized autoregressive conditional heteroskedasticity (GARCH) class that admits conditional nonGaussianities in a tractable fashion. Our “bad environment-good environment" (BEGE) model utilizes two gamma-distributed shocks and generates a conditional shock distribution with time-varying heteroskedasticity, skewness, and...

2010
Henri Nyberg

In the empirical finance literature findings on the risk-return tradeoff in excess stock market returns are ambiguous. In this study, we develop a new QR-GARCH-M model combining a probit model for a binary business cycle indicator and a regime switching GARCH-in-mean model for excess stock market return with the business cycle indicator defining the regime. Estimation results show that there is...

2005
PHILIP HANS FRANSES DICK VAN DIJK

In this papeT we study the performance of the GARCH model and two of its non-linear modifications to forecast weekly stock market volatility. The models are the Quadratic GARCH (Engle and Ng. 1993) and the Glosten. Jagannathan and Runkle (1992) models which have been proposed to describe, for example, the often observed negative skewness in stock market indices. We find that the QGARCH model is...

2010
DU Jun

Abstract:Accommodating exchange rate factors as exogenous disturbance, this paper proposes a mixed GARCH-Jump model to compares in general the volatility properties of returns series of the Shanghai composite index with those of the Dow Jones index. It also incorporates the asymmetry, clustering and leptokurtosis and fat-tail properties of returns volatility into an integrated analytic frame of...

2009
Lucia ALESSI Matteo BARIGOZZI Marco CAPASSO Lucia Alessi Matteo Barigozzi Marco Capasso

We propose a new method for multivariate forecasting which combines Dynamic Factor and multivariate GARCH models. We call the model Dynamic Factor GARCH, as the information contained in large macroeconomic or financial datasets is captured by a few dynamic common factors, which we assume being conditionally heteroskedastic. After describing the estimation of the model, we present simulation res...

2010
Ping-Yu Chen Chia-Lin Chang Chi-Chung Chen Michael McAleer

The main purpose of this paper is to estimate the volatility in global fertilizer prices. The endogenous structural breakpoint unit root test and alternative volatility models, including the generalized autoregressive conditional heteroskedasticity (GARCH) model, Exponential GARCH (EGARCH) model, and GJR model are estimated for six global fertilizer prices and the crude oil price. Weekly data f...

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