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15 results for ARCH model.

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Keyword    ARCH model

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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: 13629Downloads: 14148
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: 13642Downloads: 13455
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: 13030Downloads: 12333
volatility structural breaks emerging stock markets GARCH models
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Modelling Co-movement of Different Sectors in Dhaka Stock Exchange (DSE) Using Asymmetric BVAR-GARCH Models
by Abdul Hannan Chowdhury and Mohammad Kamrul Arefin
Journal of Finance and Economics. 2017, 5(3), 105-117. DOI: 10.12691/jfe-5-3-3
Pub. Date: April 19, 2017Views: 20010Downloads: 18403
volatility spillover return spillover Bayesian VAR GJR-GARCH VECH BEKK DSE
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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: 1662Downloads: 4651
Value at Risk (VaR) GARCH-type Model Multivariate GARCH models
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Overconfidence Behavior and Disposition Effect of Investors in Taiwan Stock Market: Another Features to Visit
by Hsiang-Hsi Liu and Fei-Jen Kan
Journal of Finance and Economics. 2021, 9(5), 170-183. DOI: 10.12691/jfe-9-5-2
Pub. Date: August 09, 2021Views: 3953Downloads: 4981
overconfidence behavior disposition effect prospect theory behavioral finance VAR-GARCH 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: 13391Downloads: 12742
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: 1555Downloads: 1884
CPI exchange rate volatility GARCH EGARCH
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On Evaluating the Volatility of Nigerian Gross Domestic Product Using Smooth Transition Autoregressive-GARCH (STAR - GARCH) Models
by Akintunde Mutairu Oyewale
American Journal of Applied Mathematics and Statistics. 2021, 9(3), 102-106. DOI: 10.12691/ajams-9-3-4
Pub. Date: October 11, 2021Views: 3432Downloads: 4471
GARCH model STAR model ESTAR-GARCH LSTAR-GARCH performance measure indices volatility
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Does the Pandemic have Greater Impact on World’s Stock Markets?
by Swetadri Samadder and Amalendu Bhunia
Journal of Finance and Economics. 2021, 9(3), 152-160. DOI: 10.12691/jfe-9-3-6
Pub. Date: June 27, 2021Views: 3590Downloads: 4738
International stock markets memory analysis volatility leverage effect GARCH models
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