نتایج جستجو برای: مدل EGARCH
تعداد نتایج: 120342 فیلتر نتایج به سال:
This study employs the asymmetric threshold cointegration test suggested by Enders and Siklos (2001) and creates EC-EGARCH(1, 1)M model to investigate the pass-through of money market rate to banking retail rates in Taiwan and Hong Kong. It further explores the impact of interest volatility on interest rates. Over the period of February 1988 to December 2004, we find that the interest pass-thou...
In this paper, we investigate the long run dynamics of the intraday range of the GBP/USD, JPY/USD and CHF/USD exchange rates. We use a non-parametric filter to extract the low frequency component of the intraday range, and model the cyclical deviation of the range from the long run trend as a stationary autoregressive process. We find that the long run trend is time-varying but highly persisten...
This paper makes a comparison of global, feedback and smoothed-piecewise neural prediction models for financial time series (FTS) prediction problem. Each model is implemented by various neural network (NN) architectures: global model by a multilayer perceptron (MLP), feedback model by a recurrent neural network (RNN) and smoothed-piecewise model by a mixture of experts (MoE) structure. The adv...
Financial time series forecast has been classified as standard problem in forecasting due to its high non-linearity and high volatility in data. Statistical methods such as GARCH, GJR, EGARCH and Artificial Neural Networks (ANNs) based on standard learning algorithms such as backpropagation have been widely used for forecasting time series volatility of various fields. In this paper, we propose...
In this paper we conduct a close examination of the relationship between return shocks and conditional volatility. We do so in a framework where the impact of return shocks on conditional volatility is specified as a general function and estimated nonparametrically using implied volatility data—the Market Volatility Index (VIX). This setup can provide a good description of the impact of return ...
Health volatility due to the Covid-19 pandemic presented a new-fangled trial banking industry with spillover effect of monetary policy volatility, which extremely affected performance in Nigeria. It has become matter concern assess and The paper used annual time series data that spanned period 2008 2020. employed Autoregressive Distributed Lag (ARDL) Exponential Generalized Conditional Heterosk...
This research examines the correlations between return volatility of cryptocurrencies, global stock market indices, and spillover effects COVID-19 pandemic. For this purpose, we employed a two-stage multivariate exponential GARCH (EGARCH) model with an integrated dynamic conditional correlation (DCC) approach to measure impact on financial portfolio returns from 2019 2020. Moreover, used value-...
Government Sukuk (SBSN) has been launched since 2008, but it assumed illiquid. Therefore, the Ministry of Finance in 2020 regulates primary dealer for SBSN. At same time, restrictions on mobility due to Covid-19 Pandemic triggered negative sentiment. It increased volatility capital market. Asymmetric occurs when market crash. The purpose this study is identify characteristics government sukuk r...
در این پژوهش، با بهر هگیری از داد ههای فصلی سری شاخص قیمت مصر فکننده و تولید ناخالص داخلی ایران، روابط میان سه ۱۳۸۷ :۲ بررسی م یشود. برای این منظور، از مدل سازی سری - متغیر تورم، نااطمینانی تورم، و رشد تولید در دورۀ زمانی ۱۳۶۸ :۱ نااطمینانی تورم، توسط مدل گارچ نمایی و سپس آزمون علیت گرنجر استفاده م یشود. نتایج ب هدست آمده حاکی از شواهد محکمی دال بر وجود یک رابطۀ علی دوطرفۀ مثبت میان تورم و نااط...
همه روزه خبرهایی از روند تغییر قیمتها در بازار طلا و نفت منتشر میشود و تحلیلگران از تاثیرپذیری اقتصاد جهانی از نوسانات این دو بازار یاد میکنند. با مشاهده انگیزه سرمایهگذاران داخلی به سرمایهگذاری مستقیم در بازار طلا و امکان سرمایهگذاری در بازار نفت، در پژوهش پیش رو نوسان آتی این دو بازار با استفاده از یکی از پرکاربردترین روشهای سنجش ریسک یعنی مدل ارزش در معرض ریسک شرطی برآورد خواهد شد. در...
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