With the increase of wind power as a renewable energy source in many countries, wind speed forecasting has become more and more important to the planning of wind speed plants, the scheduling of dispatchable generation and tariffs in the day-ahead electricity market, and the operation of power systems. However, the uncertainty of wind speed makes troubles in them. For this reason, a wind speed f...

Purpose The purpose of this paper is to compare different models’ performance in modelling and forecasting the Finnish house price returns volatility. Design/methodology/approach competing models are autoregressive moving average (ARMA) model fractional integrated (ARFIMA) for returns. For volatility, exponential generalized conditional heteroscedasticity (EGARCH) with GARCH (FIGARCH) component...

Bu çalışmada Covid-19 pandemi sürecinin Türkiye’ de seçilen bazı ekonomik değişkenlerin oynaklıkları üzerindeki etkileri vektör otoregresyon (VAR) modeli ile incelenmiştir. amaçla 2020:03-2022:08 dönemi için BIST100 fiyat endeksi, döviz kuru, ham petrol ölüm ve vaka sayıları kullanılmıştır. Ekonomik GARCH türü modellerin koşullu değişen varyansları elde edilmiştir. endeksi ARMA(1,1)-EGARCH(1,1)...

With China's continuous opening to the outside world, changes in international environment and operation of cross-border RMB settlement system (CIPS), scale has fluctuated continuously. In response this phenomenon, authors collected sorted out total amount payments from 2011 2020 time sequence data China, then use five AR models including ARMA, GARCH(1.1), EGARCH(1.1), PARCH(1.1), CARCH(1.1) fi...

This research article aimed at modeling the variations in the dollar/cedi exchange rate. It examines the applicability of a range of ARCH/GARCH specifications for modeling volatility of the series. The variants considered include the ARMA, GARCH, IGARCH, EGARCH and M-GARCH specifications. The results show that the series was non stationary which resulted from the presence of a unit root in it. ...

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...