4 GARCH Models 7 4.1 Basic GARCH Specifications . . . . . . . . . . . . . . . . . . . 8 4.2 Diagnostic Checking . . . . . . . . . . . . . . . . . . . . . . . 11 4.3 Regressors in the Variance Equation . . . . . . . . . . . . . . . 12 4.4 The GARCH–M Model . . . . . . . . . . . . . . . . . . . . . . 12 4.5 The Threshold GARCH (TARCH) Model . . . . . . . . . . . . 12 4.6 The Exponential GARCH (EG...

The Composite Stock Price Index (IHSG) is a value that describes the combined performance of all shares listed on Indonesia Exchange. JCI serves as benchmark for investors in investing. method used to predict future conditions based past data forecasting . Autoregressive Integrated Moving Average with Exogenous Variables (ARIMAX) amodel time series can be forecasting. Financial has high volatil...

BACKGROUND Cerebral protection and circulatory management remains a controversial issue in aortic arch surgery. The present study reported surgical outcomes of arch repair using moderate hypothermic circulatory arrest (MHCA) and unilateral selective antegrade perfusion (uSACP). METHODS From January 2004 and December 2012, 500 patients underwent hemiarch repair (HARCH) and 124 underwent total ...

This paper proposes an asymmetric-volatility based method for cluster analysis of stock returns. Using the information about the estimated parameters in the TARCH equation, we compute a distance matrix for the stock returns. Clusters are formed by looking to the hierarchical structure tree (or dendrogram) and the computed principal coordinates. We employ these techniques to investigate the simi...

This paper proposes spectral and asymmetric-volatility based methods for cluster analysis of stock returns. Using the information about both the periodogram of the squared returns and the estimated parameters in the TARCH equation, we compute a distance matrix for the stock returns. Clusters are formed by looking to the hierarchical structure tree (or dendrogram) and the computed principal coor...

We consider the issue of strong consistency for model selection in a large class causal time series models, including AR(∞), ARCH(∞), TARCH(∞), ARMA–GARCH and many other classical processes. propose penalized criterion based on quasi likelihood model. provide sufficient conditions that ensure proposed procedure. Also, estimator parameter selected obeys law iterated logarithm. It appears that, u...

this paper investigates the effect of exchange rate uncertainty on the iran’s import trade. the exchange rate ‎uncertainty series were generated utilizing the tarch model. this model analyzes the asymmetric effects. the analysis of uncertainty and asymmetry ‎of the exchange rate shows significant tarch ‎effect on iran’s exchange rates‎. the findings of the study indicate negative shocks (bad ne...