Search Results - subject:"GARCH Model"

An IID test for functional time series with applications to high-frequency VIX index data

Huang, Xin; Shang, Han Lin; Siu, Tak Kuen - In: Risks : open access journal 13 (2025) 2, pp. 1-25

To address a key issue in functional time series analysis on testing the randomness of an observed series, we propose an IID test for functional time series by generalizing the Brock-Dechert-Scheinkman (BDS) test, which is commonly used for testing nonlinear independence. Similarly to the BDS...

Persistent link: https://www.econbiz.de/10015333723

Interconnectedness and spillover effects amongst stock markets of the US, China, Germany, Japan and India using DCC-GARCH model and Diebold yilmaz method

Agarwal, Archana; Dhankhar, Nidhi; Mehla, Sunita - In: Colombo business journal : international journal of … 15 (2024) 2, pp. 162-189

Persistent link: https://www.econbiz.de/10015210715

Forecasting Chinese stock market volatility with high-frequency intraday and current return information

Wu, Xinyu; Zhao, An; Wang, Yuyao; Han, Yang - In: Pacific-Basin finance journal 86 (2024), pp. 1-15

Persistent link: https://www.econbiz.de/10015097250

Modeling and forecasting closing prices of some coal mining companies in Indonesia by using the VAR(3)-BEKK GARCH (1,1) model

Wamiliana; Russel, Edwin; Alam, Iskandar Ali; Widiarti; … - In: International Journal of Energy Economics and Policy : IJEEP 14 (2024) 1, pp. 579-591

Persistent link: https://www.econbiz.de/10014494811

Relationships among return and liquidity of cryptocurrencies

Zhang, Mianmian; Zhu, Bing; Li, Ziyuan; Jin, Siyuan; … - In: Financial innovation : FIN 10 (2024), pp. 1-30

heteroscedasticity (ARIMA-GARCH) model and subsequently utilize the copula method to examine the interdependent relationships between the …

Persistent link: https://www.econbiz.de/10014529822

Not all VIXs are (Informationally) equal : evidence from affine GARCH option pricing models

Escobar, Marcos; Stentoft, Lars; Ye, Xize - In: Finance research letters 69 (2024) 1, pp. 1-7

Persistent link: https://www.econbiz.de/10015079727

The functional central limit theorem for Markov-switching GARCH model

Kwon, Dream; Lee, Oesook - In: Economics letters 238 (2024), pp. 1-4

Persistent link: https://www.econbiz.de/10015075686

Cryptocurrencies intraday high-frequency volatility spillover effects using univariate and multivariate GARCH models

Ampountolas, Apostolos - In: International Journal of Financial Studies : open … 10 (2022) 3, pp. 1-22

demonstrate that the univariate GJR-GARCH model (1,1) shows a superior predictive accuracy at all horizons, followed closely by … bidirectional shock transmission effects between the cryptocurrency pairs. Hence, the multivariate DCC-GARCH model can identify the …

Persistent link: https://www.econbiz.de/10013368338

A GARCH model to understand the volatility of the electricity spot price in Brazil

Leite, André Luis da Silva; Lima, Marcus Vinicius … - In: International Journal of Energy Economics and Policy : IJEEP 13 (2023) 5, pp. 332-338

Persistent link: https://www.econbiz.de/10014380829

Chinese stock market volatility and herding behavior asymmetry during the COVID-19 pandemic

Fei, Fan; Zhang, Jianing - In: Cogent economics & finance 11 (2023) 1, pp. 1-19

The primary purpose of this paper is to explore the herding behavior in the Chinese stock market during COVID-19 and the asymmetry of that behavior using the daily returns of A- and B-shares from 2 January 2019, to 15 October 2021. The study uses the cross-sectional absolute deviation model to...

Persistent link: https://www.econbiz.de/10014500780