نتایج جستجو برای: keywords garch model

تعداد نتایج: 1851855  

Journal: :Management Science 2004
Peter F. Christoffersen, Kris Jacobs,

Characterizing asset return dynamics using volatility models is an important part of empirical finance. The existing literature on GARCH models favors some rather complex volatility specifications whose relative performance is usually assessed through their likelihood based on a time-series of asset returns. This paper compares a range of GARCH models along a different dimension, using option p...

2007
Iris W.H. Yip,

This paper proposes a threshold multivariate GARCH model (Threshold MGARCH) which integrates threshold nonlinearity, mean and volatility asymmetries and time-varying correlation in financial markets. The main feature of this model is that the mean, volatility and time-varying correlation can be governed by different threshold variables with different number of regimes. Estimation is performed u...

Journal: :Digital Signal Processing 2013
Juan Pablo Pascual, Nicolás von Ellenrieder, Martin Hurtado, Carlos H. Muravchik,

a r t i c l e i n f o a b s t r a c t We propose a GARCH model to represent the clutter in radar applications. We fit this model to real sea clutter data and we show that it represents adequately the statistics of the data. Then, we develop a detection test based on this model. Using synthetic and real radar data, we evaluate its performance and we show that the proposed detector offers higher ...

2018
Abdou Kâ Diongue, Dominique Guegan, Rodney C. Wolff, A. K. Diongue, D. Guégan, R. Wolff, Gaston Berger,

We are interested in the parametric class of Bilinear GARCH (BL-GARCH) models which are capable of simultaneously capturing the well known properties of financial retrun series, volatility clustering and leverage effects. Specifically, as it is often observed that the distribution of many financial time series data has heavy tails, heavier than the Normal distribution, we examine, in this paper...

Journal: :Community Literacy Journal 2010
WilliamCarney,

Journal: :Romanticism and Victorianism on the Net: 2007
Lauren M. E.Goodlad, Julia M.Wright,

Journal: :Community Literacy Journal 2010
StepahnieVie,

Journal: :Critical Quarterly 2019
AkshiSingh,

Journal: :Community Literacy Journal 2013
MichaelMcDonald,

Journal: :Community Literacy Journal 2012
Benjamin D.Kuebrich,

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