Search Results - subject:"EGARCH Models"

Price limits and stock returns volatility in Jordanian banks

Al-Rjoub, Samer A.M.; Abutabenjeh, Sawsan - In: International Journal of Monetary Economics and Finance 2 (2009) 2, pp. 144-165

effect on the market return volatility for the period 1999-2005. GARCH and EGARCH models are used to generate variance series …

Persistent link: https://www.econbiz.de/10008538647

Short term forecasting of electricity prices for MISO hubs: Evidence from ARIMA-EGARCH models

Bowden, Nicholas; Payne, James E. - In: Energy Economics 30 (2008) 6, pp. 3186-3197

This study estimates three time series models (ARIMA, ARIMA-EGARCH, and ARIMA-EGARCH-M) for hourly real time electricity prices for each of the five hubs of the Midwest Independent System Operator (MISO) and examines the in- and out-of-sample forecasting performance of the respective models. The...

Persistent link: https://www.econbiz.de/10005280056

The Pricing of Japanese Equity Warrants

Kuwahara, Hiroto; Marsh, Terry A. - In: Management Science 38 (1992) 11, pp. 1610-1641

part by the stochastic volatility of changes in prices of the underlying stocks. We fit GARCH and EGARCH models to the …

Persistent link: https://www.econbiz.de/10009191190