نتایج جستجو برای: egarch

تعداد نتایج: 504  

2014
WANG SUSHENG YU ZHEN

This paper investigates the dynamic relationship between volatility, volume and open interest in CSI 300 futures market using asymmetric GARCH model, Granger causality test, variance decomposition and impulse response function based on 1-min data. ARMA-EGARCH model is employed and find that both contemporaneous and lagged volume is positively related to volatility, and current open interest has...

Journal: :Computational Statistics & Data Analysis 2014

Journal: :Asia Proceedings of Social Sciences 2018

2016
Mihaly Ormos Dusan Timotity

This paper provides a theoretical explanation for the heteroscedasticity of asset returns. In line with existing empirical results, our model yields an asymmetric relationship between stock return and volatility. Based on the simple assumptions that investors behave according to Prospect Theory and are subject to mental accounting in a dynamic setting, we analytically derive the unit-root versi...

Journal: :International Journal of Financial Studies 2021

During the past decades, seasonal autoregressive integrated moving average (SARIMA) had become one of a prevalent linear models in time series and forecasting. Empirical research advocated that forecasting with non-linear can be an encouraging alternative to traditional models. Linear are often compared mixed conclusions terms superiority performance. Therefore, aim this study is build early wa...

Journal: :Computational Statistics & Data Analysis 2014
Andrew Harvey Genaro Sucarrat

An EGARCH model in which the conditional distribution is heavytailed and skewed is proposed. The properties of the model, including unconditional moments, autocorrelations and the asymptotic distribution of the maximum likelihood estimator, are obtained. Evidence for skewness in conditional t-distribution is found for a range of returns series and the model is shown to give a better fit than th...

2007
Wen Bo Shouyang Wang Kin Keung Lai

As a versatile investment tool in energy markets for speculators and hedgers, the Goldman Sachs Commodity Index (GSCI) futures are quite well known. Therefore, this paper proposes a hybrid model incorporating ARCH family models and ANN model to forecast GSCI futures price. Empirical results show that the hybrid ARCH(1)-M-ANN model is superior to ARIMA, ARCH(1),GARCH(1,1), EGARCH(1,1) and ARIMA-...

Journal: : 2021

The development process in financial markets give rise to the emergence of various instruments and cryptocurrencies, which are newest tools this process, trying integrate into system. Even though use crypto-currencies for investment speculation has increased, limited information on market leads high level volatility price return. Therefore, study aims analyze dynamics returns Bitcoin, is crypto...

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