Search Results - subject:"generalised autoregressive conditional heteroscedasticity"

Modelling and forecasting crude oil prices during COVID-19 Pandemic

Hendrawaty, Ernie; Azhar, Rialdi; Kesumah, Fajrin Satria Dwi - In: International Journal of Energy Economics and Policy : IJEEP 11 (2021) 2, pp. 149-154

Persistent link: https://www.econbiz.de/10012608864

Future natural gas price forecasting model and its policy implication

Ambya, Ambya; Gunarto, Toto; Hendrawaty, Ernie; … - In: International Journal of Energy Economics and Policy : IJEEP 10 (2020) 5, pp. 64-70

Persistent link: https://www.econbiz.de/10012505591

Investor sentiment and stock return volatility: Evidence from the Johannesburg Stock Exchange

Rupande, Lorraine; Muguto, Hilary Tinotenda; … - In: Cogent Economics & Finance 7 (2019) 1, pp. 1-16

index constructed from a set of proxies and Generalised Autoregressive Conditional Heteroscedasticity models on the South …

Persistent link: https://www.econbiz.de/10012657516

Investor sentiment and stock return volatility : evidence from the Johannesburg Stock Exchange

Rupande, Lorraine; Muguto, Hilary Tinotenda; … - In: Cogent economics & finance 7 (2019) 1, pp. 1-16

index constructed from a set of proxies and Generalised Autoregressive Conditional Heteroscedasticity models on the South …

Persistent link: https://www.econbiz.de/10012023919

Analysing CPI inflation by the fractionally integrated ARFIMA-STVGARCH model

Belkhouja, Mustapha; Mootamri, Imene; Boutahar, Mohamed - HAL - 2008

The aim of this paper is to study the dynamic evolution of inflation rate. The model is constructed by extending the ARFIMA-GARCH to ARFIMA with a time varying GARCH model where the transition from one regime to another is evolving smoothly over time. We show by Monte Carlo experiments that the...

Persistent link: https://www.econbiz.de/10008793834