نتایج جستجو برای: igarch

تعداد نتایج: 59  

1996
Thomas Kaiser Robert Jung Martin Kukuk Roman Liesenfeld Gerd Ronning

This paper presents theoretical models and their empirical results for the return and variance dynamics of German stocks. A factor structure is used in order to allow for a parsimonious modeling of the rst two moments of returns. Dynamic factor models with GARCH dynamics (GARCH(1,1)-M, IGARCH(1,1)-M, Nonlinear Asymmetric GARCH(1,1)-M and Glosten-Jagannathan-Runkle GARCH(1,1)-M) and three di ere...

Journal: :Journal of corporate governance, insurance and risk management 2022

Purpose: This paper aims to test the volatility models for Bitcoin (BTC) and financial stress index (FSI) examine spillover among them. aim was reached by obtaining weekly data from 7th of January 2011 24th December 2021. Methodology: First, modelling series is provided, GARCH (1,1) BTC IGARC (1,2) FSI are determined as most appropriate models. Then, residual created each variable over IGARCH s...

1998
Thomas Mikosch

The asymptotic theory for the sample autocorrelations and extremes of a GARCH(1; 1) process is provided. Special attention is given to the case when the sum of the ARCH and GARCH parameters is close to one, i.e. when one is close to an innnite variance marginal distribution. This situation has been observed for various nancial log{return series and led to the introduction of the IGARCH model. I...

Journal: :Communications in Statistics - Simulation and Computation 2009
Fabio Bellini Leonardo Bottolo

In this work we investigate the impact of misspecification of the innovations in fitting Garch$(1,1)$ models. We show that an incorrect specification of the innovations together with the reduction of the parameter space to the weak stationarity region, can give rise to a spurious IGARCH effect. We address this point through an extensive Monte Carlo simulation study. We also analyse the impact o...

Journal: :FinTech 2022

This study provides evidence of the impact COVID-19 on five (5) Nigerian Stock Exchange (NSE) sectorial stocks (NSE Insurance, NSE Banking, Oil and Gas, Food Beverages, Consumer Goods). To achieve goal this paper, daily stock prices were obtained from a secondary source ranging 2 January 2020 to 25 March 2021. Because importance incorporating structural breaks in modelling returns, Zivot–Andrew...

Journal: :International journal of social sciences and economic review 2022

Purpose of the study: This study aims to examine key drivers for effect selected commodity ratios and exchange rate that haveinfluenced return on investment agriculture animal feed companies in Indonesia. Methodology: uses GARCH methodology. Using IGARCH monthly daily data from 2014 until 2021, we also have a different timeline between before COVID after COVID-19. Main Findings: According resul...

ژورنال: :علوم اقتصادی 2013
مجید دلاوری نادیا گندالی علیخانی اسماعیل نادری

انرژی در حیات اقتصاد صنعتی جوامع، نقش زیربنایی ایفا نموده، به این معنا که هرگاه انرژی به مقدار کافی و به موقع در دسترس باشد، توسعه اقتصادی نیز میسر خواهد بود. در این بین نفت و گاز طبیعی، به عنوان مهمترین منابع تأمین انرژی بشر امروزی، از اهمیت ویژه ای برخوردارند. اهمیت این قضیه در کشور ایران دوچندان می باشد، چراکه سیاستگذاری های این کشور به عنوان یکی از مالکان عظیم منابع انرژی در جهان، نه تنها ب...

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