A variational Bayesian autoregressive conditional heteroskedastic (VB-ARCH) model is presented. The ARCH class of models is one of the most popular for economic time series modeling. It assumes that the variance of the time series is an autoregressive process. The variational Bayesian approach results in an approximation to the full posterior distribution over ARCH model parameters, and provide...

Daily returns of nancial assets are frequently found to exhibit positive autocor-relation at lag 1. When specifying a linear AR(1) conditional mean, one may ask how this predictability aaects option prices. We investigate the dependence of option prices on autoregressive dynamics under stylized facts of stock returns, i.e., conditional heteroskedasticity, leverage eeect, and conditional leptoku...

The study examined the volatility of daily market price listed property stocks on Johannesburg Stock Exchange (JSE) for a 10year period (2008-2017). used prices from January 2, 2008 to December 29, 2017 twelve (12) quoted companies out twenty-seven (27) (SA REIT Association, 2020). computed average selected and was as proxy stock in analysis. modelled SA-REIT using generalised autoregressive co...

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 later stunningly influential work on common trend modeling (cointegration) and vol...

This study empirically examined the asymmetric oil price shocks in Nigeria from 1981q1-2019q4 using Exponential Generalized Autoregressive Conditional Heteroskedasticity (EGARCH) model. The EGARCH model was employed to investigate by obtaining conditional variance estimated results. Empirical results revealed a weak indication for leverage effect and strong effect. positive egarch (L2) coeffici...

where $‘s inre r*onst,ant matricaes; detI{@(z)} = 11 @,x . w * $JP[ = 0 has ci 5 771, urrit roots and ‘I’ = 711 d roots omside the urrit, circle: tPt = ((1 it, 7 c+> is a sequcnce of independent1 and idcntically distlributled (i.i.tl) matrices with mean zero and nonnegativc covarianc~e IC[ /le+&) ~f’(&)] = 0; pit is an i.i.d ramlom vector witIh mean zero and positive covariance E ( etef j = CA ...

In this paper various ARCH models and relevant news impact curves including a partially nonparametric (PNP) one are compared and estimated with daily Iran stock return data. Diagnostic tests imply the asymmetry of the volatility response to news. The EGARCH model, which passes all the tests and appears relatively matching with the asymmetry in the data, seems to be the most adequate characteriz...

Purpose This study focuses on forecasting the price of most important export crops vegetables and fruits in Egypt from 2016 to 2030. Design/methodology/approach The applied generalized autoregressive conditional heteroskedasticity (GARCH) model integrated moving average (ARIMA) model. Findings results show that ARIMA (1,1,1), (2.1,2), (1,1,0), (1,1,2), (0,1,0) (1,1,1) are appropriate fitted mod...

Compared to the traditional maximum likelihood regression approach, the penalized maximum likelihood estimation (PMLE) is a more rigorous method because of the adjustment for over fitting is directly built into the model development process, instead of relying on shrinkage afterwards. This paper illustrates the application of a nonlinear programming technique on PMLE to develop a prediction mod...