Search Results - subject:"Conditional volatility"

The Correct Regularity Condition and Interpretation of Asymmetry in EGARCH

Chang, Chia-Lin; McAleer, Michael - 2017

In the class of univariate conditional volatility models, the three most popular are the generalized autoregressive … effects on conditional volatility of positive and negative effects of equal magnitude, and possibly also leverage, which is …

Persistent link: https://www.econbiz.de/10011819449

The correct regularity condition and interpretation of asymmetry in EGARCH

Chang, Chia-Lin; McAleer, Michael - 2017

Persistent link: https://www.econbiz.de/10011688332

The fiction of Full BEKK

Chang, Chia-Lin; McAleer, Michael - 2017

The purpose of the paper is to show that univariate GARCH is not a special case of multivariate GARCH, specifically the Full BEKK model, except under parametric restrictions on the off-diagonal elements of the random coefficient autoregressive coefficient matrix, provides the regularity...

Persistent link: https://www.econbiz.de/10011587639

A simple test for causality in volatility

Chang, Chia-ling; McAleer, Michael - In: Econometrics : open access journal 5 (2017) 1, pp. 1-5

An early development in testing for causality (technically, Granger non-causality) in the conditional variance (or volatility) associated with financial returns was the portmanteau statistic for non-causality in the variance of Cheng and Ng (1996). A subsequent development was the Lagrange...

Persistent link: https://www.econbiz.de/10011654183

Volatility modeling and asset pricing: Extension of GARCH model with macro economic variables, value-at- risk and semi-variance for KSE

Hamid, Kashif; Hasan, Arshad - In: Pakistan Journal of Commerce and Social Sciences (PJCSS) 10 (2016) 3, pp. 569-587

The purpose of this study is to identify the behavior of returns and volatility with the attributes of non-linearities and asymmetric patterns in the returns series of KSE and modeling of volatility for asset pricing with macroeconomic, value at risk and semi-variance in GARCH specification....

Persistent link: https://www.econbiz.de/10011938526

A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics

Asai, Manabu; McAleer, Michael - 2016

The paper derives a Multivariate Asymmetric Long Memory conditional volatility model with Exogenous Variables (X), or … univariate conditional volatility model with exogenous variables (X) that has dynamic conditional correlations, appropriate … regularity conditions, and associated asymptotic theory. Therefore, the derivation of a multivariate conditional volatility model …

Persistent link: https://www.econbiz.de/10011586680

Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes

Asai, Manabu; McAleer, Michael - 2016

The paper considers various extended asymmetric multivariate conditional volatility models, and derives appropriate … autoregressive process, for which we show the equivalent representation for the asymmetric multivariate conditional volatility model …

Persistent link: https://www.econbiz.de/10011586686

A Simple Test for Causality in Volatility

Chang, Chia-Lin; McAleer, Michael - 2016

An early development in testing for causality (technically, Granger non-causality) in the conditional variance (or volatility) associated with financial returns, was the portmanteau statistic for non-causality in variance of Cheng and Ng (1996). A subsequent development was the Lagrange...

Persistent link: https://www.econbiz.de/10011586709

The dynamic Black-Litterman approach to asset allocation

Harris, Richard D. F.; Stoja, Evarist; Tan, Linzhi - 2016

Persistent link: https://www.econbiz.de/10011480647

Volatility modeling and asset pricing : extension of GARCH model with macro economic variables, value-at- risk and semi-variance for KSE

Hamid, Kashif; Hasan, Arshad - In: Pakistan journal of commerce and social sciences 10 (2016) 3, pp. 569-587

Persistent link: https://www.econbiz.de/10011929454