نتایج جستجو برای: egarch model

تعداد نتایج: 2104560  

ژورنال: :اقتصاد مالی 0

اصولاً هر فعالیت اقتصادی با درجه ای از ریسک همراه است  .سودآوری یا بقای یک بنگاه اقتصادی به عوامل متعددی بستگی داردکه برخی ازآنها درکنترل و برخی دیگر خارج از کنترل می باشد. این تحقیق در پی یافتن تاثیر نا اطمینانی متغیرهای کلان اقتصادی (نرخ ارز و تورم) بر روی ریسک اعتباری مشتریان حقوقی بانک تجارت می باشد. بدین منطور تاثیر متغیرهای نرخ ارز و تورم، مطالبات معوق و مطالبات سررسید گذشته، بر روی ریسک ا...

ژورنال: اقتصاد مالی 2012

اصولاً هر فعالیت اقتصادی با درجه ای از ریسک همراه است  .سودآوری یا بقای یک بنگاه اقتصادی به عوامل متعددی بستگی داردکه برخی ازآنها درکنترل و برخی دیگر خارج از کنترل می باشد. این تحقیق در پی یافتن تاثیر نا اطمینانی متغیرهای کلان اقتصادی (نرخ ارز و تورم) بر روی ریسک اعتباری مشتریان حقوقی بانک تجارت می باشد. بدین منطور تاثیر متغیرهای نرخ ارز و تورم، مطالبات معوق و مطالبات سررسید گذشته، بر روی ریسک ا...

Journal: :Mathematics 2023

Seasonal production, weather abnormalities, and high perishability introduce a degree of volatility to potato prices. Price is said be asymmetric when positive negative shocks the same magnitude affect it in dissimilar way. GARCH symmetric model, cannot capture price volatility. EGARCH, APARCH, GJR-GARCH models are popularly used In this paper, an attempt made model weekly wholesale modal potat...

2004
Ellis Connolly Marion Kohler

In this paper we analyse the effect of news relating to the expected path of monetary policy on interest rate futures. Central banks’ transparency is in most respects much greater than it was a decade ago, and so central bank communication needs to be included as a potential source of news. We therefore consider four types of news: macroeconomic news, overseas news, monetary policy surprises an...

Journal: :Mathematics and Computers in Simulation 2004
Felix Chan Dora Marinova Michael McAleer

This paper analyses the asymmetric volatility in Japanese electronics and electrical equipment (hereafter, electronics) patents in the USA from 1975 to 1997. The number of patents has been increasing steadily over time and the electronics industry has a 30% share of total Japanese patents in the USA. Thus, such patents reflect a strategic development by Japanese companies for the US market. The...

2014
Andrew Harvey Stephen Thiele

A test for time-varying correlation is developed within the framework of a dynamic conditional score (DCS) model for both Gaussian and Student t-distributions. The test may be interpreted as a Lagrange multiplier test and modi…ed to allow for the estimation of models for time-varying volatility in the individual series. Unlike standard moment-based tests, the score-based test statistic includes...

2018
Xiangyun Xu Jia Liao Yu Shi

Using DCC-GARCH and EGARCH model, this paper finds that since 1990, the relationship between crude oil prices and the US dollar index is time-varying, demonstrating a process of “very weak correlation—negative correlation—enhanced negative correlation—weakening negative correlation”, but the existing research does not provide enough reasonable explanation. Therefore, this paper proposed a “key ...

Journal: :International Journal of Information Technology and Web Engineering 2022

With China's continuous opening to the outside world, changes in international environment and operation of cross-border RMB settlement system (CIPS), scale has fluctuated continuously. In response this phenomenon, authors collected sorted out total amount payments from 2011 2020 time sequence data China, then use five AR models including ARMA, GARCH(1.1), EGARCH(1.1), PARCH(1.1), CARCH(1.1) fi...

Journal: :اقتصاد پولی مالی 0
علی تک روستا حبیب مروت حسین تک روستا

importance of risk and uncertainty in financial markets became more apparent after financial crisis in 2007. volatility is the most important measure of risk in financial markets. thus, modeling volatility of financial markets is one of the important issues in finance and economics. in this paper first we tried to specify key features of volatility of daily returns of tehran stock exchange pric...

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