Analysis of financial time series with model hybridization

Analysis of Financial Time Series with EViews

4 GARCH Models 7 4.1 Basic GARCH Specifications . . . . . . . . . . . . . . . . . . . 8 4.2 Diagnostic Checking . . . . . . . . . . . . . . . . . . . . . . . 11 4.3 Regressors in the Variance Equation . . . . . . . . . . . . . . . 12 4.4 The GARCH–M Model . . . . . . . . . . . . . . . . . . . . . . 12 4.5 The Threshold GARCH (TARCH) Model . . . . . . . . . . . . 12 4.6 The Exponential GARCH (EG...

a time-series analysis of the demand for life insurance in iran

با توجه به تجزیه و تحلیل داده ها ما دریافتیم که سطح درامد و تعداد نمایندگیها باتقاضای بیمه عمر رابطه مستقیم دارند و نرخ بهره و بار تکفل با تقاضای بیمه عمر رابطه عکس دارند

Frequency-based Analysis of Financial Time Series

Modelling financial time series with SEMIFAR-GARCH model

A class of semiparametric fractional autoregressive GARCH models (SEMIFARGARCH), which includes deterministic trends, difference stationarity and stationarity with shortand long-range dependence, and heteroskedastic model errors, is very powerful for modelling financial time series. This paper discusses the model fitting, including an efficient algorithm and parameter estimation of GARCH error ...

Financial time series forecasting with a bio-inspired fuzzy model

0957-4174/$ see front matter 2012 Elsevier Ltd. A http://dx.doi.org/10.1016/j.eswa.2012.02.135 ⇑ Corresponding author. E-mail address: jose-luis.aznarte@mines-paristech In general, times series forecasting is considered as a highly complex problem, which is particularly true for financial time series. In this paper, a fuzzy model evolved through a bio-inspired algorithm is proposed to produce a...