Search Results - subject:"Arch Models"

Symmetric and asymmetric volatility : forecasting the Borsa Istanbul 100 index return volatility

Öner, Selma; Öner, Hakan - In: Financial internet quarterly 19 (2023) 1, pp. 48-56

The development of technology and the globalization of financial markets have increased the volatility in financial markets and caused the emergence of risks and uncertainties that have not been previously encountered. Since traditional econometric models cannot fully explain this vol- atility,...

Persistent link: https://www.econbiz.de/10014281313

Penalized quasi-likelihood estimation and model selection with parameters on the boundary of the parameter space

Bohn Nielsen, Heino; Rahbek, Anders - In: The econometrics journal 27 (2024) 1, pp. 107-125

Persistent link: https://www.econbiz.de/10014528095

Volatility estimation when the zero-process is nonstationary

Francq, Christian; Sucarrat, Genaro - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 1, pp. 53-66

Persistent link: https://www.econbiz.de/10013540630

Conditional asymmetry in ARCH models

Royer, Julien - 2020

Persistent link: https://www.econbiz.de/10012429896

Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models

Cavaliere, Giuseppe; Bohn Nielsen, Heino; Pedersen, … - In: Journal of econometrics 227 (2022) 1, pp. 241-263

Persistent link: https://www.econbiz.de/10013441653

Normative analysis of the impact of Covid-19 on prominent sectors of Indian economy by using ARCH Model

Kumar, G. K. Chetan; Rangappa, K. B.; Suchitra S - In: Theoretical and applied economics : GAER review 29 (2022) 2/631, pp. 151-164

Persistent link: https://www.econbiz.de/10014325374

Risk estimation with a time-varying probability of zero returns

Sucarrat, Genaro; Grønneberg, Steffen - In: Journal of financial econometrics 20 (2022) 2, pp. 278-309

Persistent link: https://www.econbiz.de/10013187979

Fitting vast dimensional time-varying covariance models

Pakel, Cavit; Shephard, Neil G.; Sheppard, Kevin; … - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 3, pp. 652-668

Persistent link: https://www.econbiz.de/10012588005

A three-tiered nested analytical approach to financial integration : the case of emerging and frontier equity markets

Cagliesi, Gabriella; Guidi, Francesco - In: International review of financial analysis 74 (2021), pp. 1-29

Persistent link: https://www.econbiz.de/10012803928

Forecasting the volatilities of the Nigeria stock market prices

Ibrahim, Sikiru O. - In: CBN Journal of Applied Statistics 08 (2017) 2, pp. 23-45

The objective of this work is to assess and forecast the volatilities of prices on the Nigeria Stock Exchange. The ARCH family (ARCH, GARCH, TGARCH, EGARCH and PGARCH) and ARIMA models are used to assess and forecast volatilities in prices on the Nigeria stock market. The EGARCH model is found...

Persistent link: https://www.econbiz.de/10011961666

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