نتایج جستجو برای: using a multivariate garch models full
تعداد نتایج: 14262135 فیلتر نتایج به سال:
in this paper we compared multivariate garch models toestimate value-at-risk. we used a portfolio of weekly indexesincluding tedpix, klse, xu100 during ten years. to estimatevalue-at-risk, first we estimated ccc, dcc of engle, dcc of tseand tsui, dynamic equi correlation models by oxmetrics. then,optimum lags were estimated by minimizing the information criteria.to estimate var, the models accu...
sange siyah dam is located two kilometers down the kabod khani village. the environ of ghorrve city in kurdestan province. this is an clay core dam. in this dam instrumentation is performed in three section and consist of electrical piezometers, total pressure cells, settlement cells and so on. the main objective of instrumentation is to control the behavior of dam body and foundation, end else...
Conditions for the existence of strictly stationary multivariate GARCH processes in the so-called BEKK parametrisation, which is the most general form of multivariate GARCH processes typically used in applications, and for their geometric ergodicity are obtained. The conditions are that the driving noise is absolutely continuous with respect to the Lebesgue measure and zero is in the interior o...
The present article studies the interactive relationships between oil price volatility and industries stocks of basic metals, petroleum and chemical products by using Vector Auto Regressive (VAR) and Multivariate Generalized Autoregressive Conditional Heteroskedastisity (GARCH) models from March 2004 to March 2015 empirically . In this research, the VAR-GARCH model is proposed, which is develop...
Abstract. One of the major problems in using wind energy is that wind-generated electricity is more unstable than electricity generated by other sources, and therefore integrating wind energy use with traditional power generation systems can be a challenge. This problem can be effectively reduced by having accurate information about the mean and wind speed volatilities. Therefore, in this paper...
This paper characterizes the term structure of risk measures such as Value at Risk (VaR) and expected shortfall under different econometric approaches including multivariate regime switching, GARCH-in-mean models with student-t errors, two-component GARCH models and a non-parametric bootstrap. We show how to derive the risk measures for each of these models and document large variations in term...
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