Search Results - subject:"GARCH-class models"

Markovian analysis of U.S. Treasury volatility : asymmetric responses to macroeconomic announcements

Gigante, Gimede; Guarniero, Pieralberto; Pasini, Simona - In: Economics letters 239 (2024), pp. 1-6

Persistent link: https://www.econbiz.de/10015076688

Estimation and Performance Assessment of Value-at-Risk and Expected Shortfall Based on Long-Memory GARCH-Class Models

Aloui, Chaker; HAMIDA, Hela BEN - In: Czech Journal of Economics and Finance (Finance a uver) 65 (2015) 1, pp. 30-54

-memory GARCH-class models under three density functions are used to investigate this relevancy. Our results reveal that non …-linear GARCH-class models accommodating long memory and asymmetry can better capture the volatility of returns. In particular, we …-memory GARCH-class models and simple GARCH and EGARCH models. Overall, long-memory, asymmetry, persistence and fat tails are …

Persistent link: https://www.econbiz.de/10011147545

Modeling and forecasting the volatility of gas futures prices

Aiube, Fernando Antônio Lucena; Samanez, Carlos P.; … - In: Revista Brasileira de Finanças : RBFin 15 (2017) 4, pp. 511-535

Persistent link: https://www.econbiz.de/10012000207

Forecasting crude oil market volatility : a Markov switching multifractal volatility approach

Wang, Yudong; Wu, Chongfeng; Li, Yang - In: International journal of forecasting 32 (2016) 1, pp. 1-9

Persistent link: https://www.econbiz.de/10011596312

Estimation and performance assessment of value-at-risk and expected shortfall based on long-memory GARCH-class models

Aloui, Chaker; Ben Hamida, Hela - In: Finance a úvěr 65 (2015) 1, pp. 30-54

Persistent link: https://www.econbiz.de/10010474200

Predicción de la volatilidad en el mercado del petróleo mexicano ante la presencia de efectos asimétricos

Jesús Gutiérrez, Raúl <de>; Vergara González, Reyna; … - In: Cuadernos de economía 34 (2015) 2, pp. 299-326

Persistent link: https://www.econbiz.de/10011532666

Long memory revisit in Chinese stock markets: Based on GARCH-class models and multiscale analysis

Lin, Xiaoqiang; Fei, Fangyu - In: Economic Modelling 31 (2013) C, pp. 265-275

better than other GARCH-class models for different time scale interval. Interestingly, the time-varying Hurst exponents of …

Persistent link: https://www.econbiz.de/10011048749

Long memory revisit in Chinese stock markets : based on GARCH-class models and multiscale analysis

Lin, Xiaoqiang; Fei, Fangyu - In: Economic modelling 31 (2013), pp. 265-275

Persistent link: https://www.econbiz.de/10009729114

Forecasting the conditional volatility of oil spot and futures prices with structural breaks and long memory models

Arouri, Mohamed El Hédi; Lahiani, Amine; Lévy, Aldo; … - In: Energy Economics 34 (2012) 1, pp. 283-293

This paper extends previous studies by investigating the relevance of structural breaks and long memory in modeling and forecasting the conditional volatility of oil spot and futures prices using a variety of GARCH-type models. Our results can be summarized as follows. First, we provide evidence...

Persistent link: https://www.econbiz.de/10010582222

Forecasting the conditional volatility of oil spot and futures prices with structural breaks and long memory models

Arouri, Mohamed; Lahiani, Amine; Lévy, Aldo; Nguyen, … - In: Energy economics 34 (2012) 1, pp. 283-293

Persistent link: https://www.econbiz.de/10009618848