Search Results - subject:"ARMA–GARCH model"

ARMA-GARCH model with fractional generalized hyperbolic innovations

Kim, Sung Ik - In: Financial innovation : FIN 8 (2022), pp. 1-25

In this study, a multivariate ARMA-GARCH model with fractional generalized hyperbolic innovations exhibiting fat … the ARMA-GARCH model with standard normal innovations, the parameters are estimated for the high-frequency returns of six …

Persistent link: https://www.econbiz.de/10013272653

Analysis of market efficiency and fractal feature of NASDAQ stock exchange : time series modeling and forecasting of stock index using ARMA-GARCH model

Arashi, Mohammad; Rounaghi, Mohammad Mahdi - In: Future Business Journal 8 (2022), pp. 1-12

we modeled daily stock index in NASDAQ stock exchange using ARMA-GARCH model from 2000 until the end of 2016. After … values for 2017 and our findings show that ARMA-GARCH model can forecast very well at the error level of 1%. Also, the result …

Persistent link: https://www.econbiz.de/10013273743

Test for market timing using daily fund returns

Jiang, Lei; Liu, Weimin; Peng, Liang - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 1, pp. 184-196

Persistent link: https://www.econbiz.de/10013540664

Modeling and forecasting the electricity price in Iran using wavelet-based GARCH model

Pourghorban, Mojtaba; Mamipour, Siab - In: Iranian journal of economic studies : IJES 9 (2020) 1, pp. 233-260

Persistent link: https://www.econbiz.de/10012547083

Early warning system for risk of external liquidity shock in BRICS countries

An, Hui; Wang, Hao; Delpachitra, Sarath B.; Cottrell, Simon - In: Emerging markets review 51 (2022) 1, pp. 1-18

Persistent link: https://www.econbiz.de/10013417315

Diversification, hedging, and safe-haven characteristics of cryptocurrencies : a structural change approach

Hsu, Shu-Han; Cheng, Po-Keng; Yang, Yiwen - In: International review of financial analysis 93 (2024), pp. 1-19

Persistent link: https://www.econbiz.de/10014543494

Electricity Price Forecast: a Comparison of Different Models to Evaluate the Single National Price in the Italian Energy Exchange Market

Cervone, Andrea; Santini, Ezio; Teodori, Sabrina; … - In: International Journal of Energy Economics and Policy 4 (2014) 4, pp. 744-758

In the last decades, electricity markets thoughout the Eurozone have undergone substantial changes. The deregulation of electricity markets stimulated investments in the production and distribution of energy, but there are large risks associated with these investments due to price volatility...

Persistent link: https://www.econbiz.de/10010961041

Electricity price forecast : a comparison of different models to evaluate the single national price in the Italian energy exchange market

Cervone, Andrea; Santini, Ezio; Teodori, Sabrina; … - In: International Journal of Energy Economics and Policy : IJEEP 4 (2014) 4, pp. 744-758

Persistent link: https://www.econbiz.de/10011286592

A copula-GARCH model of conditional dependencies : estimating Tehran Market Stock Exchange value-at-risk

Shams, Sedigheh; Haghighi, Fatemeh K. - In: Journal of statistical and econometric methods 2 (2013) 2, pp. 39-50

Modeling the dependency between stock market returns is a difficult task when returns follow a complicated dynamics. It is not easy to specify the multivariate distribution relating two or more return series. In this paper, a methodology based on fitting ARIMA, GARCH and ARMA-GARCH models and...

Persistent link: https://www.econbiz.de/10009769897

A mixed portmanteau test for ARMA-GARCH model by the quasi-maximum exponential likelihood estimation approach

Zhu, Ke - Volkswirtschaftliche Fakultät, … - 2012

residual autocorrelation functions of ARMA-GARCH model. This leads a mixed portmanteau test for diagnostic checking of the ARMA-GARCH … model fitted by using the quasi-maximum exponential likelihood estimation approach in Zhu and Ling (2011). Simulation …

Persistent link: https://www.econbiz.de/10011114154