To monitor and improve the urban air quality, the Chinese government has begun to make many efforts, and the interregional cooperation to cut and improve air quality has been required. In this paper, we focus on the seasonality of the first and second moments of the daily air pollution indexes (APIs) of 42 Chinese sample cities over 10 years, from June 5, 2000 to March 4, 2010, and investigate ...

Saham merupakan produk pasar modal yang menjadi salah satu instrumen investasi. Banyak investor memilih saham sebagai investasi dikarenakan memberikan keuntungan menarik. Metode estimasi metode tepat bagi para untuk memprediksi harga sehingga dapat membantu mengoptimalkan keuntungannya. Penelitian ini bertujuan menentukan model terbaik dari data menggunakan ARCH-GARCH dan mendapatkan hasil Kalm...

Yingfu Xie. Maximum Likelihood Estimation and Forecasting for GARCH, Markov Switching, and Locally Stationary Wavelet Processes. Doctoral Thesis. ISSN 1652-6880, ISBN 978-91-85913-06-0. Financial time series are frequently met both in daily life and the scientific world. It is clearly of importance to study the financial time series, to understand the mechanism giving rise to the data, and/or p...

In this paper we use Gaussian Process (GP) regression to propose a novel approach for predicting volatility of financial returns by forecasting the envelopes of the time series. We provide a direct comparison of their performance to traditional approaches such as GARCH. We compare the forecasting power of three approaches: GP regression on the absolute and squared returns; regression on the env...

Recently, there has been a growing interest in the methods addressing volatility in computational finance and econometrics. Peiris et al. [8] have introduced doubly stochastic volatility models with GARCH innovations. Random coefficient autoregressive sequences are special case of doubly stochastic time series. In this paper, we consider some doubly stochastic stationary time series with GARCH ...

This paper proposes volatility and spectral based methods for cluster analysis of stock returns. Using the information about both the estimated parameters in the threshold GARCH (or TGARCH) equation and the periodogram of the squared returns, we compute a distance matrix for the stock returns. Clusters are formed by looking to the hierarchical structure tree (or dendrogram) and the computed pri...

This paper aims to investigate a Bayesian sampling approach to parameter estimation in the GARCH model with an unknown conditional error density, which we approximate by a mixture of Gaussian densities centered at individual errors and scaled by a common standard deviation. This mixture density has the form of a kernel density estimator of the errors with its bandwidth being the standard deviat...

We use Generalized Autoregressive Conditional Heteroscedasticity (GARCH) models to examine volatility of stock prices for firms listed in the Dar es Salaam Stock Exchange (DSE). In doing so, both symmetric and asymmetric GARCH are used this study. The descriptive analysis data shows that standard deviation series returns is high, indicating a high level daily fluctuations, log value mean close ...

The research of Kim and Schmidt (1993) is extended to examine the properties of asymmetric unit root tests in the presence of generalised autoregressive conditional heteroskedasticity (GARCH). Using Monte Carlo simulation, threshold autoregressive and momentum—threshold autoregressive asymmetric unit tests are shown to suffer greater size distortion than the original (implicitly symmetric) Dick...