The exchange rate risk caused by the two-way fluctuation of RMB will bring many effects. volatility foreign market is most common feature financial market. Therefore, research on great significance in economic and aspects. Through statistical analysis data, an ARMA model was established to eliminate auto-correlation sequence, GARCH family combined fit data. Comparing different distribution hypo...

We analyze volatility contagion between the U.S. and Chinese stock markets international capital markets. The is modeled using: GARCH, TARCH, EGARCH, APARCH, IGARCH, FIGARCH, ACGARCH GAS models under Gaussian, GED t-Student distributions. 21,000 intraday observations of thirteen from January/1st to June/25th 2020 are employed. Once modeled, incidence American on rest bourses tested employing Ve...

This paper examines the performance of different kind GARCH models with Gaussian, Student-t and generalized error distribution for Colombo Stock Exchange (CSE), in Sri Lanka. Analyzing daily closing price index CSE from January 02, 2007 to March 10, 2013. It was found that Asymmetric give better result than symmetric model. According distributional assumption these under as well provided fit no...

GARCH-type models have been highly developed since Engle [1982] presented ARCH process 30 years ago. Different kinds of GARCH-type models are applicable to different kinds of research purposes. As documented by many literatures that short-memory processes with level shifts will exhibit properties that make standard tools conclude long-memory is present. Therefore, in this paper, we want to fore...

The strong consistency and asymptotic normality of the Whittle estimate of the parameters in a class of exponential volatility processes are established. Among many models of interest, this class includes one-shock models, such as the EGARCH model of Nelson (1991), and two-shock models, such as the SV model of Taylor (1986). The variable of interest might not have finite fractional moment of an...

Referring to related documents and papers, we implement several different approaches to compute the VaR of a delta-hedged portfolio constructed by 41 stocks and corresponding options. First we interpreted the concepts and techniques involved with our study. Then we discussed the details about both Historical Simulation and Monte Carlo Simulation, and pointed out their shortcomings through exper...

This study extends the dynamic conditional correlation model to allow day-specific correlations of shocks across international stock markets. The properties of the resulting periodic dynamic conditional correlation (PDCC) model are examined, with the model then applied to study the intra-week interactions between six developed European stock markets and the US over the period 1993 2005. We find...

The efficient market hypothesis (EMH) is tested in the case of the Athens Stock Exchange (ASE) after the introduction of the euro. The underlying assumption is that stock prices would be more transparent; their performance easier to compare; the exchange rate risk eliminated and as a result we expect the new currency to strengthen argument in favour of the EMH. The General ASE Composite Index a...