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13 results for garch.

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Modelling Change Point in GARCH Models
by Amon kiregu, Anthony Waititu and Antony Ngunyi
American Journal of Applied Mathematics and Statistics. 2019, 7(4), 138-145. DOI: 10.12691/ajams-7-4-3
Pub. Date: June 24, 2019Views: 6128Downloads: 5077
change point PGARCH TGARCH GJRGARCH volatility
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Parametric Value-at-Risk Analysis: Evidence from Islamic and Conventional Stock Market
by Majoul Neila and Hellara Slaheddine
International Journal of Business and Risk Management. 2018, 1(1), 37-54. DOI: 10.12691/ijbrm-1-1-5
Pub. Date: June 05, 2018Views: 7582Downloads: 6029
value-at-risk GARCH models risk Stock market indices Islamic finance
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Structural Breaks and Stock Market Volatility in Emerging Countries
by Emna Abdennadher and Slaheddine Hallara
International Journal of Business and Risk Management. 2018, 1(1), 9-16. DOI: 10.12691/ijbrm-1-1-2
Pub. Date: April 14, 2018Views: 7654Downloads: 5701
volatility structural breaks emerging stock markets GARCH models
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Forecasting Financial Assets Volatility Using Integrated GARCH-Type Models: International Evidence
by Samir Mabrouk
Journal of Finance and Economics. 2016, 4(2), 54-62. DOI: 10.12691/jfe-4-2-3
Pub. Date: April 21, 2016Views: 15648Downloads: 11899
forecasting volatility skewed Student distribution Long-range memory
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The Dynamic International Optimal Hedge Ratio
by Xiaochun Liu and Brian Jacobsen
International Journal of Econometrics and Financial Management. 2014, 2(3), 82-94. DOI: 10.12691/ijefm-2-3-1
Pub. Date: June 16, 2014Views: 20008Downloads: 13666
optima hedge ratio international hedging multivariate GARCH currency risk hedge effectiveness and efficiency spot and futures markets
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Models for Forecasting the Demand and Supply of Electricity in Nigeria
by Benjamin Oyediran Oyelami and Adedamola adedoyin Adewumi
American Journal of Modeling and Optimization. 2014, 2(1), 25-33. DOI: 10.12691/ajmo-2-1-4
Pub. Date: March 17, 2014Views: 27864Downloads: 19975
demand supply electricity garch Arima Harvey logistic model
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Modelling the Effects of Trading Volume on Stock Return Volatility Using Conditional Heteroskedastic Models
by Edwin Moyo, Antony Gichuhi Waititu and Antony Ngunyi
Journal of Finance and Economics. 2018, 6(5), 193-200. DOI: 10.12691/jfe-6-5-5
Pub. Date: September 09, 2018Views: 6722Downloads: 5257
stock return volatility volume asymmetric GARCH models leverage effect
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Damascus Securities Exchange Weighted Index volatilities and Terrorist attacks in Syria
by Lamia Jamel and Abdelkader Derbali
International Journal of Business and Risk Management. 2019, 2(1), 9-15. DOI: 10.12691/ijbrm-2-1-2
Pub. Date: October 03, 2019Views: 3904Downloads: 3204
DSE volatilities terrorist attacks GARCH EGARCH TGARCH
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The Relationship between Trading Volume, Volatility and Stock Market Returns: During a Pre- and Post Revolution on Tunisian Stock Exchange
by Othman Mnari
International Journal of Global Energy Markets and Finance. 2019, 2(1), 1-5. DOI: 10.12691/ijgefm-2-1-1
Pub. Date: April 26, 2019Views: 4731Downloads: 3688
trading volume return volatility Tunisian stock market GARCH model
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Volatility Clustering, Leverage Effects and Risk-Return Trade-Off in the Nigerian Stock Market
by Wilson E. Herbert, Georgina O. Ugwuanyi and Ernest I. Nwaocha
Journal of Finance and Economics. 2019, 7(1), 1-13. DOI: 10.12691/jfe-7-1-1
Pub. Date: December 24, 2018Views: 5981Downloads: 4234
asymmetric volatility GARCH effect leverage effect persistent clustering volatility clustering
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