This paper investigates the dynamic relationship between volatility, volume and open interest in CSI 300 futures market using asymmetric GARCH model, Granger causality test, variance decomposition and impulse response function based on 1-min data. ARMA-EGARCH model is employed and find that both contemporaneous and lagged volume is positively related to volatility, and current open interest has...

In this paper we propose a method to estimate the value-at-risk (VaR) of a portfolio based on a combination of time series, extreme value theory and copula fitting. Given multivariate financial data, we use a univariate ARMA-GARCH model for each return series. We then fit a generalized Pareto distribution to the tails of the residuals to model the distributions of marginal residuals, followed b...

JAMES ROCHON. Inference from the Incomplete Longitudinal Design under an ARMA Cdvariance Structure (Under the direction of RONALD W. HELMS). A stochastic model is presented for the analysis of the longitudinal design, appropriate when some of the response variables are missing. The general linear model is used to relate these dependent variables to other variables which are thought to account f...

Aminoglycosides are used in treating a wide range of infections caused by Gram-positive and Gram-negative bacteria; however, aminoglycoside resistance is common and occurs by several mechanisms. Among these mechanisms is bacterial rRNA methylation by the 16S rRNA methyl transferase (16S-RMTase) enzymes; but data about the spread of this mechanism in Egypt are scarce. Cephalosporins are the most...

Coventry University, Coventry, CV1 5FB, U.K In this article, we build Box-Jenkins ARMA model and ARMA-GARCH model to forecast the returns of shanghai stock exchange composite index in financial engineering. Out-of-sample forecasting performances are evaluated to compare the forecastability of the two models. Traditional engineering type of models aim to minimize statistical errors, however, the...

A class of autoregressive moving-average (ARMA) models proposed by J rgensen and Song [Journal of Applied Probability (1998), vol. 35, pp. 78–92] with exponential dispersion model margins are useful to deal with non-normal stationary time series with high-order autocorrelation. One property associated with the class of models is that the projection process takes the exact form of the classical ...

This paper makes an attempt to develop least squares lattice algorithms for the ARMA modeling of a linear, slowly time-varying, multichannel system employing scalar computations only. Using an equivalent scalar, periodic ARMA model and a circular delay operator, the signal set for each channel is defined in terms of circularly delayed input and output vectors corresponding to that channel. The ...