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Exchange-rates volatility in Nigeria: Application of GARCH models with exogenous break

Bala, Dahiru A.; Asemota, Joseph O. - In: CBN Journal of Applied Statistics 04 (2013) 1, pp. 89-116

This paper examines exchange-rate volatility with GARCH models using monthly exchange-rate return series from 1985:1 to 2011:7 for Naira/US dollar return and from 2004:1 to 2011:7 for Naira/British Pounds and Naira/Euro returns. The study compare estimates of variants of GARCH models with break...

Persistent link: https://www.econbiz.de/10011482587

Exchange-rates volatility in Nigeria : application of GARCH models with exogenous break

Bala, Dahiru A.; Asemota, Joseph O. - In: CBN journal of applied statistics 4 (2013) 1, pp. 89-116

Persistent link: https://www.econbiz.de/10011476095

Theoretical results on fractionally integrated exponential generalized autoregressive conditional heteroskedastic processes

Lopes, Sílvia R.C.; Prass, Taiane S. - In: Physica A: Statistical Mechanics and its Applications 401 (2014) C, pp. 278-307

stationarity and the ergodicity of these processes. We prove that, if {Xt}t∈Z is a FIEGARCH(p,d,q) process then, under mild …

Persistent link: https://www.econbiz.de/10011058849

Modelling good and bad volatility

Pelagatti, Matteo - Dipartimento di Statistica, Università degli Studi di … - 2007

and sufficient conditions for weak and strict stationarity are derived. An application to the daily returns on the …

Persistent link: https://www.econbiz.de/10005800561

Forecasting the Sensex and Nifty indices using ARIMA and GARCH models

Tejesh H. R.; Jeelan Basha V. - In: Mudra : journal of finance and accounting 10 (2023) 1, pp. 57-75

Persistent link: https://www.econbiz.de/10014372845

Mixed normal conditional heteroskedasticity

Haas, Markus; Mittnik, Stefan; Paolella, Marc S. - 2002

and relationships with previously proposed specifications are discussed and stationarity conditions are derived. An …

Persistent link: https://www.econbiz.de/10009767120

Co-movements of oil, gold, the US dollar, and stocks

Samanta, Subarna K.; Mohamad-Zadeh, Ali H. - In: Modern economy 3 (2012) 1, pp. 111-117

Persistent link: https://www.econbiz.de/10009710520

Testing for a unit root in the presence of stochastic volatility and leverage effect

Li, Yong; Chong, Terence Tai-Leung; Zhang, Jie - In: Economic modelling 29 (2012) 5, pp. 2035-2038

Persistent link: https://www.econbiz.de/10009666985

Stochastic dynamical modelling of spot freight rates

Benth, Fred Espen; Koekebakker, Steen; Taib, Che Mohd … - In: IMA journal of management mathematics 26 (2015) 3, pp. 273-297

Persistent link: https://www.econbiz.de/10011405425

Fractionally integrated COGARCH processes

Haug, Stephan; Klüppelberg, Claudia; Straub, German - In: Journal of financial econometrics : official journal of … 16 (2018) 4, pp. 599-628

Persistent link: https://www.econbiz.de/10011988000