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(SARIMA) used to simulate monthly rainfall in Gadaref station, Sudan. For the analysis, monthly rainfall data for the years … seasonal differencing prior to the development of the SARIMA model. Interestingly, the SARIMA (0,0,5)x(1,0,1)12 model developed …
Persistent link: https://www.econbiz.de/10011166042
Average (SARIMA) models proposed by Box, Jenkins, and Reinsel (1994). CUSUM, Quandt likelihood ratio (QLR) and Chow test have …
Persistent link: https://www.econbiz.de/10011113416
, there have been no studies which have used the GARCH methodology to study export volatility. This paper fills the void. It …
Persistent link: https://www.econbiz.de/10005835772
This paper investigates the impact of British macroeconomic and monetary news on English interest rates level and volatility. These news correspond to Bank of England (BoE) target variables news and to unexpected monetary policy rate changes. It analyzes whether the market rate response to these...
Persistent link: https://www.econbiz.de/10005837520
independence over time should be taken with caution due to the presence of GARCH effects. In addition, extreme co-movements are …
Persistent link: https://www.econbiz.de/10005837546
employ daily values of one from the main indexes of the Bucharest Stock Exchange. We use a GARCH model to reveal the monthly …
Persistent link: https://www.econbiz.de/10011258155
heteroscedasticity (GARCH), robust regression quantile of least absolute deviation (LAD), and Hoerl's Ordinary ridge regression (ORR …
Persistent link: https://www.econbiz.de/10011258266
2013. In this analysis we employ daily values of five main indexes of Bucharest Stock Exchange. We use GARCH models to …
Persistent link: https://www.econbiz.de/10011258329
sub-samples corresponding to different stages of the Romanian financial markets evolution. The GARCH models employed in …
Persistent link: https://www.econbiz.de/10011258604
, but the data generating process is shown to be non-linear. A non-linear GARCH model is then applied, achieving a good …
Persistent link: https://www.econbiz.de/10011259010