نتایج جستجو برای: gjr
تعداد نتایج: 198 فیلتر نتایج به سال:
This paper employs the symmetric GARCH and asymmetric GJR-GARCH(1,1) E-GARCH(1,1) models to explain dynamics of PLN/EUR PLN/USD exchange rates in Poland for periods January 2015 July 2022. The result our study shows that USD rate is more susceptible market fluctuations events than EUR rate. Additionally, both rates' volatility persists after a crisis while, with taking longer until subsides. Us...
The correspondence between the gluon density behavior of color dipole picture and two-Pomeron approach at low $x$ deep inelastic scattering is considered. For photon virtualities $Q^{2}{\gtrsim}10~\mathrm{GeV}^{2}$, results for parametrization CDP models are defined by asymptotic limit compatible with soft hard-Pomeron approach. These show that trajectory does not guarantee converging towards r...
The environmental literature lacks the use of volatility based models for environmental stochastic processes. To overcome this deficiency, we use EGARCH, IGARCH, TGARCH, GJR-GARCH, NGARCH, AVGARCH and APARCH models for functional relationships of the pathogen indicators time series for recreational activates at beaches. We use generalized error, Student’s t, exponential, normal and normal inver...
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...
Erratum Following the publication of our article [1], we noticed that Dr Flavia C. L. Hoyte had inadvertently been omitted from the author list. FCLH declares she has no conflicts of interest. The author list has now been corrected and the amended authors contributions section included below. AY initiated and led the development of the paper as primary author, contributing to all of the section...
In this study, we employ a recently developed econometric technique of the threshold model with the GJR-GARCH process on error terms to investigate the relationships between weather factors and stock market returns in Taiwan using daily data for the period of 1 July 1997–22 October 2003. The major weather factors studied include temperature, humidity, and cloud cover. Our empirical evidence sho...
This paper investigates the forecasting ability of five different versions of GARCH models. The five GARCH models applied are bivariate GARCH, GARCH-ECM, BEKK GARCH, GARCH-X and GARCH-GJR. Forecast errors based on four emerging stock futures portfolio return (based on forecasted hedge ratio) forecasts are employed to evaluate out-ofsample forecasting ability of the five GARCH models. Daily data...
It is well known that volatility asymmetry exists in financial markets. This paper reviews and investigates recently developed techniques for Bayesian estimation and model selection applied to a large group of modern asymmetric heteroskedastic models. These include the GJR-GARCH, threshold autoregression with GARCH errors, threshold GARCH and Double threshold heteroskedastic model with auxiliar...
Atmospheric carbon dioxide concentration (ACDC) is a crucial variable for many environmental simulation models, and is regarded as an important factor for predicting temperature and climate changes. However, the conditional variance of ACDC levels has not previously been examined. This paper analyses the trends and volatility in ACDC levels using monthly data from January 1965 to December 2002....
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