نتایج جستجو برای: egarch model
تعداد نتایج: 2104560 فیلتر نتایج به سال:
Purpose The purpose of this paper is to compare different models’ performance in modelling and forecasting the Finnish house price returns volatility. Design/methodology/approach competing models are autoregressive moving average (ARMA) model fractional integrated (ARFIMA) for returns. For volatility, exponential generalized conditional heteroscedasticity (EGARCH) with GARCH (FIGARCH) component...
This paper is focused on examining the number of deaths' increases participation in the propagating the Ebola virus during the period ranging from March to October 2014. An application of the MGARCH-DCC model regressions on four countries has led to discover that the finding that human contact play a significant role in transmitting the Ebola virus. Our findings also reveal that Guinea has alre...
This paper focuses on portfolio risk forecasting in an asymmetrical framework. Risk is defined by two factors; the dependence structure and the volatility. In order to account for asymmetric dependencies, the return series’ interdependence is estimated via a Copula approach rather than the correlation matrix. This allows to capture tightening dependence during market turmoils and loose dependen...
This study investigates whether the coronavirus (COVID-19) pandemic caused a contagion and negatively affected stock market. Using data from 10 worst-hit countries over period December 2019 to May 2020 an EGARCH model, shows that market speculations lead negative returns higher volatility. Further, estimates of both bivariate time-series regression random-effects panel show significant effects ...
housing is one of the economic major sectors of the macro economy of country and micro economy of the household. changes in home prices, including consideration of issues in recent years . in this regard, several studies for examining the determinant variables of housing supply and demand and prices have been. this article attempts with using of model dissimilar variance household arch, paying ...
Even though both symmetric and asymmetric conceptions of news impacts are well-established in the disciplines economics financial markets, effects combining multiple shocks on volatility tourism demand have not yet been delved into or gauged any tourist destination. This work hypothesises verifies that impact curve (NIC), conditional heteroscedastic models, suitable for forecasting Malaysian in...
This paper provides evidence of linkages between the equity market and the index futures market in Australia where the futures market has experienced a major structural event due to the futures contract respecification. An extended bivariate EGARCH model is developed that includes cointegrating residual as an explanatory variable for both the conditional mean and the conditional variance. The c...
Article history: Received October 1, 2011 Received in Revised form November, 14, 2011 Accepted 30 January 2012 Available online 20 February 2012 In this study, the backpropagation neural network (BPNN) is tested for the ability to forecast the daily volatility of two stock market indices from the Middle East and North Africa (MENA) region using volume; namely Morocco and Saudi Arabia. Volatilit...
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