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A multivariate asymmetric long memory conditional volatility model with X, regularity and asymptotics

Asai, Manabu; McAleer, Michael - 2016

, including the diagonal BEKK model of Baba et al. (1985) and Engle and Kroner (1995), VARMA-GARCH model of Ling and McAleer (2003 …

Persistent link: https://www.econbiz.de/10011531101

The stochastic volatility in mean model

Koopman, Siem Jan; Hol Uspensky, Eugenie - 2000

In this paper we present an exact maximum likelihood treatment forthe estimation of a Stochastic Volatility in Mean(SVM) model based on Monte Carlo simulation methods. The SVM modelincorporates the unobserved volatility as anexplanatory variable in the mean equation. The same extension...

Persistent link: https://www.econbiz.de/10011303314

Herding, a-synchronous updating and heterogeneity in memory in a CBS

Diks, Cees G. H.; Weide, Roy van der - 2003

predicts MA(1) structure with a negative coeffient. Asynchronous updating leads to an MA(1) model for returns with GARCH($1 …,1$) innovations, and predicts a relation between the ARCH and GARCH coefficients. Heterogeneity in memory leads to long … coefficient and the relation between the ARCH and GARCH coefficients for exchange rate data. …

Persistent link: https://www.econbiz.de/10011334332

Evaluating volatility forecasts with ultra-high-frequency data : evidence from the Australian equity market

Zhang, Kai; De Mello, Lurion; Sadeghi, Mehdi - In: Theoretical economics letters 8 (2018) 1, pp. 1-27

Persistent link: https://www.econbiz.de/10011842038

Measuring and comparing the value-at-risk using GARCH and CARR models for CSI 300 index

Wu, Chunchou - In: Theoretical economics letters 8 (2018) 6, pp. 1179-1187

Persistent link: https://www.econbiz.de/10011888169

Which model performs better while forecasting stock market volatility? : answer for Dhaka Stock Exchange (DSE)

Abdullah, S. M.; Kabir, Mohammod Akbar; Jahan, Kawsar; … - In: Theoretical economics letters 8 (2018) 14, pp. 3203-3222

Persistent link: https://www.econbiz.de/10011955144

Stock index volatility forecasting with high frequency data

Hol Uspensky, Eugenie; Koopman, Siem Jan - 2002

Volatility (SV) and Generalised Autoregressive Conditional Heteroskedasticity (GARCH) models which are both extended to include … outperforms the GARCH model. …

Persistent link: https://www.econbiz.de/10011326944

GARCH models for daily stock returns : impact of estimation frequency on value-at-risk and expected shortfall forecasts

Ardia, David; Hoogerheide, Lennart - 2013

Persistent link: https://www.econbiz.de/10010191413