We identify and estimate the mean and variance components of the daily closing share prices using ARIMA-GARCH type models by explaining the volatility structure of the residuals obtained under the best suited mean models for the said series. The parameters of ARIMA type simple specifications are routinely anticipated by applying the OLS methodology but it has two disadvantages when the volatili...

The log returns of financial time series are usually modeled by means of the stationary GARCH(1,1) stochastic process or its generalizations which can not properly describe the nonstationary deterministic components of the original series. We analyze the influence of deterministic trends on the GARCH(1,1) parameters using Monte Carlo simulations. The statistical ensembles contain numerically ge...

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-...

GARCH models with Markov-switching regimes are often used for volatility analysis of …nancial time series. Such models imply less persistence in the conditional variance than the standard GARCH model, and potentially provide a signi…cant improvement in volatility forecast. Nevertheless, conditions for asymptotic wide-sense stationarity have been derived only for some degenerated models. In this...

This paper contains a survey of univariate models of conditional heteroskedasticity. The classical ARCH model is mentioned, and various extensions of the standard Generalized ARCH model are highlighted. This includes the Exponential GARCH model. Stochastic volatility models remain outside this review.

در این پژوهش سعی می‌­شود مدلی برای شبیه‌­سازی چرخه عمر صنعت برق با استفاده از شبیه‌سازی عامل­بنیان ارائه شود، مدل، 5 عامل استخراج شد و شبیه­‌سازی به کمک نرم‌افزار Anylogic صورت پذیرفت. بهینه‌­سازی مدل چهار سناریو نظر خبرگان شد. سناریوی نخست، جذابیت نیروگاه گازی سیکل ترکیبی کاهش یافت بر دو دیگر افزوده نتیجه افزایش تولید آبی است که توجه کمبود منابع کشور به‌صرفه نیست. دوم ورود یک فناوری جدید میزان...

ARCH and GARCH models are widely used to model financial market volatilities in risk management applications. Considering a GARCH model with heavy-tailed innovations, we characterize the limiting distribution of an estimator of the conditional Value-at-Risk (VaR), which corresponds to the extremal quantile of the conditional distribution of the GARCH process. We propose two methods, the normal ...

We study the sample autocovariance and autocorrelation function of the stationary AR(1) process with ARCH(1) errors. In contrast to ARCH and GARCH processes, AR(1) processes with ARCH(1) errors can not be transformed into solutions of linear stochastic recurrence equations. However, we show that they still belong to the class of stationary sequences with regular varying nite-dimensional distrib...

Data finansial yang mengikuti deret waktu memiliki keragaman atau volatilitas setiap waktunya tidak konstan. Keadaan ini disebut sebagai heteroskedastisitas. Metode dapat menyelesaikan masalah tersebut adalah Autoregressive Conditional Heteroscedasticity (ARCH)/Generalized (GARCH). Namun, ARCH/GARCH mengatasi beberapa kasus seperti perbedaan dalam nilai leverage effect. Sehingga dilakukan pemod...