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29 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: 17649Downloads: 18879
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: 16548Downloads: 17041
value-at-risk GARCH models risk Stock market indices Islamic finance
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A Wavelet-ARMA-GARCH Refinement Method to VaR Estimate for Foreign Exchange Market
by Samia Mederessi and Slaheddine Hallara
International Journal of Business and Risk Management. 2018, 1(1), 28-36. DOI: 10.12691/ijbrm-1-1-4
Pub. Date: April 23, 2018Views: 17469Downloads: 17049
Value-at-Risk foreign exchange rate ARMA-GARCH wavelet wavelet decomposed VAR Kupiec backtesting procedures
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Review on Wavelet Denoised Value at Risk and Application on Crude Oil Market
by Samia Mederessi and Slaheddine Hallara
International Journal of Global Energy Markets and Finance. 2018, 1(1), 4-10. DOI: 10.12691/ijgefm-1-1-2
Pub. Date: April 23, 2018Views: 14433Downloads: 14578
Value-at-Risk crude oil ARMA-GARCH Wavelet Wavelet Denoised VaR Kupiec Backtesting procedures
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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: 15404Downloads: 16044
volatility structural breaks emerging stock markets GARCH models
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Stocks, Bonds and Foreign Exchange Inter-linkages: A Market Micro-structure Perspective in Kenya
by Caspah Lidiema and Irungu Macharia
Journal of Finance and Economics. 2017, 5(6), 290-299. DOI: 10.12691/jfe-5-6-5
Pub. Date: December 08, 2017Views: 21891Downloads: 21067
EGARCH volatility stocks bonds foreign exchange
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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: 23837Downloads: 22885
volatility spillover return spillover Bayesian VAR GJR-GARCH VECH BEKK DSE
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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: 26280Downloads: 24597
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: 31051Downloads: 25929
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: 45192Downloads: 38855
demand supply electricity garch Arima Harvey logistic model
Abstract Full Text PDF (262 KB) Full Text HTML Full Text ePUB (424 KB)
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