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18 results for GARCH.

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Keyword     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: 19370Downloads: 21778
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: 17575Downloads: 18614
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: 16300Downloads: 18555
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: 27388Downloads: 26332
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: 32234Downloads: 27495
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: 47053Downloads: 41164
demand supply electricity garch Arima Harvey logistic model
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Market Ambiguity and Returns
by Frederick Adjei and Mavis Adjei
Journal of Finance and Economics. 2025, 13(3), 101-111. DOI: 10.12691/jfe-13-3-3
Pub. Date: August 18, 2025Views: 1893Downloads: 7441
market ambiguity market returns conditional mean risk-return tradeoff GARCH effects return predictors future market returns Knightian uncertainty
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Univariate and Multivariate Volatility Models for Portfolio Value at Risk
by Jingyi Xiao, Siqi Mao, Xufeng Niu and Yixin Kang
Journal of Finance and Economics. 2024, 12(1), 1-14. DOI: 10.12691/jfe-12-1-1
Pub. Date: February 02, 2024Views: 4974Downloads: 9680
Value at Risk (VaR) GARCH-type Model Multivariate GARCH models
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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: 18194Downloads: 18496
stock return volatility volume asymmetric GARCH models leverage effect
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A Comparative Study of Volatility of Consumer Price Index and Exchange Rate of Ghana Using GARCH Models
by Mary Ann Yeboah, David Benteh, Francis Yao Anyan, Philip Nyarko Kwakye, Kofi Mensah and Sulemana Mahawiya
American Journal of Applied Mathematics and Statistics. 2023, 11(4), 100-107. DOI: 10.12691/ajams-11-4-1
Pub. Date: December 06, 2023Views: 4252Downloads: 5569
CPI exchange rate volatility GARCH EGARCH
Abstract Full Text PDF (240 KB) Full Text HTML Full Text ePUB (251 KB)
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