Search Results - subject:"Generalized autoregressive conditional heteroskedasticity (GARCH) model"

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Balance sheet approach to forecasting currency in circulation

Glova, Adrian Matthew G.; Hernandez, Roy R. - 2022

Persistent link: https://www.econbiz.de/10014318687

Evaluating the hedging effectiveness in crude palm oil futures market during financial crises

Go, You-How; Lau, Wee-Yeap - In: The journal of asset management 16 (2015) 1, pp. 52-69

Persistent link: https://www.econbiz.de/10010528217

A new approach to model and forecast volatility based on extreme value of asset prices

Kumar, Dilip; Maheswaran, S. - In: International Review of Economics & Finance 33 (2014) C, pp. 128-140

Based on the specification of the Conditional Autoregressive Range (CARR) model, we provide a framework that makes use of volatility based on the high and the low of daily prices separately to model the dynamic behavior of the conditional Rogers and Satchell (1991) estimator called herein the...

Persistent link: https://www.econbiz.de/10010930974

A new approach to model and forecast volatility based on extreme value of asset prices

Kumar, Dilip; Maheswaran, S. - In: International review of economics & finance : IREF 33 (2014), pp. 128-140

Persistent link: https://www.econbiz.de/10010531271