Search Results - subject:"Autoregressive conditional heteroskedasticity"

The volatility spillover of global oil price uncertainty

Pícha, Kamil; Tichá, Lucie; Chuponov, Sanat; Ataev, Jasur - In: International Journal of Energy Economics and Policy : IJEEP 14 (2024) 3, pp. 619-624

Persistent link: https://www.econbiz.de/10014533486

Interplay of volatility and geopolitical tensions in clean energy markets : a comprehensive GARC-ISTM forecasting approach

Brik, Hatem; Ouakdi, Jihene El - In: International Journal of Energy Economics and Policy : IJEEP 14 (2024) 4, pp. 92-107

Persistent link: https://www.econbiz.de/10014634872

Modeling sovereign credit default swaps volatility at different tenures : an application for Latin American countries

Gamboa-Estrada, Fredy; Romero, José Vicente - In: Borsa Istanbul Review 24 (2024) 4, pp. 772-786

conditional heteroskedasticity model, it decomposes volatility into permanent and transitory components. It finds that the … (SCDS) in Latin America at different tenures, focusing on their volatility. Using a component generalized autoregressive …

Persistent link: https://www.econbiz.de/10014635386

Euro interest rate swap yields : a GARCH analysis

Akram, Tanweer; Mamun, Khawaja - 2023

a generalized autoregressive conditional heteroskedasticity (GARCH) approach to model the dynamics of the monthly change …

Persistent link: https://www.econbiz.de/10014438498

Building multivariate time-varying smooth transition correlation GARCH models, with an application to the four largest Australian banks

Hall, Anthony; Silvennoinen, Annastiina; Teräsvirta, Timo - In: Econometrics : open access journal 11 (2023) 1, pp. 1-37

This paper proposes a methodology for building Multivariate Time-Varying STCC-GARCH models. The novel contributions in this area are the specification tests related to the correlation component, the extension of the general model to allow for additional correlation regimes, and a detailed...

Persistent link: https://www.econbiz.de/10014281494