نتایج جستجو برای: conditional models of tedpix volatility at the daily frequencies performance criterion namely the root mean square error (rmse). under rmse

تعداد نتایج: 23084415  

Journal: :تحقیقات مالی 0
رضا تهرانی دانشیار دانشکده مدیریت دانشگاه تهران، ایران شاپور محمدی عضو هیئت علمی دانشکده مدیریت دانشگاه تهران، ایران محمدرضا پورابراهیمی دانشجوی دوره دکترای مدیریت مالی دانشکده مدیریت دانشگاه تهران، ایران

modeling and forecasting the volatility of tehran exchange dividend price index (tedpix) the present research, analyses the forecasting performance of a variety of conditional and non-conditional models of tedpix volatility at the daily frequencies performance criterion namely the root mean square error (rmse). under rmse, results show ma250 and cgarch models had better performance between non ...

پایان نامه :وزارت علوم، تحقیقات و فناوری - دانشگاه صنعتی اصفهان - دانشکده ریاضی 1390

abstract: in the paper of black and scholes (1973) a closed form solution for the price of a european option is derived . as extension to the black and scholes model with constant volatility, option pricing model with time varying volatility have been suggested within the frame work of generalized autoregressive conditional heteroskedasticity (garch) . these processes can explain a number of em...

پایان نامه :وزارت علوم، تحقیقات و فناوری - دانشگاه شهید چمران اهواز - دانشکده مهندسی علوم آب 1393

drought is transient phenomenon , slow , repetitive and integral part of the climate of each region. drought begins with a substantial reduction in precipitation over the long-term average rainfall and over time, reduced soil moisture and surface and ground water resources will continue to decrease. this phenomenon is the most important in bakhtegan basin because of its importance in strategic ...

2012
Lars Forsberg

This paper is mainly talking about several volatility models and its ability to predict and capture the distinctive characteristics of conditional variance about the empirical financial data. In my paper, I choose basic GARCH model and two important models of the GARCH family which are E-GARCH model and GJR-GARCH model to estimate. At the same time, in order to acquire the forecasting performan...

پایان نامه :وزارت علوم، تحقیقات و فناوری - دانشگاه فردوسی مشهد - دانشکده ادبیات و علوم انسانی دکتر علی شریعتی 1392

a large number of single research studies on the effects of strategy-based instruction (sbi) in teaching english as a foreign or second language has been conducted so far. however, the lack of a comprehensive meta-analysis targeting the effectiveness of english language sbi is observed. moreover, the findings of experimental studies regarding the context of the english language, proficiency lev...

پایان نامه :وزارت علوم، تحقیقات و فناوری - دانشگاه گیلان - دانشکده فنی و مهندسی 1390

magnetic resonance imaging (mri) is a notable medical imaging technique that makes of phenomenon of nuclear magnetic resonance. because of the resolution and the technology being harmless, mri has considered as the most desirable imaging technique in clinical applications. the visual quality of mri plays an important role in accuracy of medical delineations that can be seriously degraded by exi...

پایان نامه :وزارت علوم، تحقیقات و فناوری - دانشگاه تربیت مدرس - دانشکده برق و کامپیوتر 1390

one of the most important goals for increasing recognition and treatment revenue is transmitting vital data to medical care team, more quickly. nowadays, use of new technologies for transmitting data will deploy more and more daily. in this article, for transmitting electrocardiogram, first we code the signal into a suite of codes, then we will use bluetooth technology to transmit data from off...

پایان نامه :موسسه آموزش عالی غیردولتی رودکی تنکابن - دانشکده ادبیات و زبانهای خارجی 1393

abstract the present study was an attempt to investigate the effect of critical thinking on writing ability of 60 iranian intermediate efl learners studying at chenar language institute in khuzestan, iran. to this end, the participants of the study were selected based on their performance in an pet test, a cornell critical thinking test form x and a pre-test of writing. the participants un...

2011
D Ng Cheong

This paper aims at evaluating volatility forecasts for the US Dollar/Mauritian Rupee exchange rate obtained via a GARCH (1,1) model under two distributional assumptions: the Generalized Error Distribution (GED) and the Student’s-t distribution. We make use of daily data to evaluate the parameters of each model and produce volatility estimates. The forecasting ability is subsequently assessed us...

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