نتایج جستجو برای: bekk مرتبه کامل
تعداد نتایج: 60047 فیلتر نتایج به سال:
The paper develops two Dynamic Conditional Correlation (DCC) models, namely the Wishart DCC (WDCC) model and the Matrix-Exponential Conditional Correlation (MECC) model. The paper applies the WDCC approach to the exponential GARCH (EGARCH) and GJR models to propose asymmetric DCC models. We use the standardized multivariate t-distribution to accommodate heavy-tailed errors. The paper presents a...
This paper investigates the forecasting ability of five different versions of GARCH models. The five GARCH models applied are bivariate GARCH, GARCH-ECM, BEKK GARCH, GARCH-X and GARCH-GJR. Forecast errors based on four emerging stock futures portfolio return (based on forecasted hedge ratio) forecasts are employed to evaluate out-ofsample forecasting ability of the five GARCH models. Daily data...
This paper investigates the hedging effectiveness of time-varying hedge ratios in the agricultural commodities futures markets based on four different versions of the GARCH models. The GARCH models applied are the standard bivariate GARCH, the bivariate BEKK GARCH, the bivariate GARCH-X and the bivariate BEKK GARCH-X. The GARCH-X and the BEKK GARCH-X models are uniquely different from the other...
This paper was aimed at investigating the volatility and conditional relationship among inflation rates, exchange rates and interest rates as well as to construct a model using multivariate GARCH DCC and BEKK models using Ghana data from January 1990 to December 2013. The study revealed that the cumulative depreciation of the cedi to the US dollar from 1990 to 2013 is 7,010.2% and the yearly we...
Tests of causality in variance in multiple time series have been proposed recently, based on residuals of estimated univariate models. Although such tests are applied frequently little is known about their power properties. In this paper we show that a convenient alternative to residual based testing is to specify a multivariate volatility model, such as multivariate GARCH (or BEKK), and constr...
Com a utilização de dados diários do retorno das ações, da cotação Dólar e índice Ibovespa, durante o período 2010 até 2020, este estudo apresenta os resultados dos transbordamentos volatilidades no mercado ações Brasil, com correlações condicionais. A construção retornos representativos pela Análise Componentes Principais, tradicional robusto se mostraram mais adequadas em relação à Principais...
This paper derives the statistical properties of a two-step approach to estimating multivariate rotated GARCH-BEKK (RBEKK) models. From definition RBEKK, unconditional covariance matrix is estimated in first step rotate observed variables order have identity for its sample matrix. In second step, remaining parameters are by maximizing quasi-log-likelihood function. For this quasi-maximum likeli...
در این مقاله پیشبینی دالانهای پایداری با روش جدید مرتبه سوم گسستهسازی کامل که مبتنی بر انتگرالگیری مستقیم است ارائه شده است.در ابتدا مدل دینامیکی فرزکاری با تاخیر زمانی به فرم فضای حالت را به فرم انتگرالی مینویسیم، بعد از اینکه هر تناوب زمانی به تعداد فواصل محدود گسسته شد روش گسستهسازی کامل برای حل دستی قسمت انتگرالی سیستم بهکار گرفته میشود.در هر بازه کوچک زمانی چند جملهای درجه سوم ل...
در این مقاله از روش رهیافت کنترل مدرن برای طراحی کنترلر و مشاهده گر استفاده شده است. عملکرد سایر کنترلر ها نظیر عصبی - فازی و یا کشویی کنترل حالت می تواند در ادامه این کار مورد متوجه قرار گیرد و نتایج با هم مقایسه گردد. در ابتدا، برای شیر سروو یک مدل دینامیکی در نظر گرفته شده و برای آن معادلات حاکم بدست آمده و در فرم فضای حالت بیان شده است. با توجه به این که سیستم بیان شده نوع صفر و فاقد انتگر...
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