ARMA-GARCH
MODELING VOLATILITY OF AGRICULTURAL COMMODITY FOOD PRICE INDEX IN NIGERIA USING ARMA-GARCH MODELS
... Commodity food price fluctuations have been attracting increasing attention in recent economic and financial literature and have been recognized as one of the most important economic phenomena. Commodity food price ...
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Assessing Efficiency of D-Vine Copula ARMA-GARCH Method in Value at Risk Forecasting: Evidence from PSE Listed Companies
... via ARMA-GARCH model for approximately one hundred and fi y combinations of settings of ...in GARCH (p, q) model have only minor infl uence on the values of information criteria – in the order of ...
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A mixed portmanteau test for ARMA GARCH model by the quasi maximum exponential likelihood estimation approach
... of ARMA-GARCH ...the ARMA- GARCH model fitted by using the quasi-maximum exponential likelihood estimation approach in Zhu and Ling ...
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Comparison of option pricing between ARMA-GARCH and GARCH-M models
... the GARCH models for S &P 500 index using maximum likelihood estimation (MLE) ...both ARMA-GARCH and GARCH-M have similar fitting performance, especially for the conditional variance ...
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Global self weighted and local quasi maximum exponential likelihood estimators for ARMA GARCH/IGARCH models
... This paper investigates the asymptotic theory of the quasi-maximum exponential likelihood estimators (QMELE) for ARMA–GARCH models. Under only a fractional moment condition, the strong consistency and the ...
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MODELING AND FORECASTING DAILY STOCK RETURNS OF GUARANTY TRUST BANK NIGERIA PLC USING ARMA-GARCH MODELS, PERSISTENCE, HALF-LIFE VOLATILITY AND BACKTESTING
... of GARCH family models, and to achieve superior and more reliable models for volatility persistence, half-life volatility and backtesting, the study combined the ARMA and GARCH ...The ...
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A comprehensive analysis of bet, bet xt, bet fi and bet ng indices using the joint symmetric and asymmetric arma garch models
... the GARCH models on four of Bucharest Stock Exchange’ own indices which reflect only the evolution of market prices: Bucharest Exchange Trading Index XT), Bucharest Exchange Trading – FI) and Bucharest Exchange ...
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An evaluation of the effectiveness of Value at Risk (VaR) models for Australian banks under Basel III
... Much of the literature on VaR focuses on US and European commercial banks, see for example Berkowitz and O’Brien (2002), Cuoco and Liu (2006), Lucas (2001), Fiori and Iannotti, (2007), Perignon, Deng and Wang (2008) and ...
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A Comparison of VaR Estimation Procedures for Leptokurtic Equity Index Returns
... paper, ARMA (1, 1) model is used for the cal- culation of predicted mean and GARCH (1, 1) model is used for modeling the observed volatility ...models, ARMA-GARCH model parameters are ...
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A Comparison of VaR Estimation Procedures for Leptokurtic Equity Index Returns
... formation, normal and Student t-distributions. In the second approach, the ARMA-GARCH parameters are calculated using the pseudo-normal assumption, i.e., as- suming that standardized residuals are normally ...
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Handling arch effects in wind speed data using state space approach model
... Another aspect that needs to be considered is in terms of forecasting ability. Forecasting wind speed data commonly involves short-term forecast. Therefore a dynamic time series model that is capable to forecast in short ...
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Online Full Text
... We empirically examine which sector dominates more risk contributions on systemic risk with 10000 Monte Carlo simulations in each time interval using vine Copula-based ARMA-GARCH (1, 1) modeling. The ...
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Financial Time Series Modelling of Trends and Patterns in the Energy Markets
... Precise recognition of a time series path is important to policy makers, statisticians, economists, traders, hedgers and speculators alike. The correct time series path is also a key ingredient in pricing models. This ...
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Advances in Portmanteau Diagnostic Tests
... As an important part of Box-Jenkins modelling procedure, the Portmanteau Test is used to per- form diagnostic checks on various models. Box and Pierce (1970) and Ljung and Box (1978) proposed these tests initially and ...
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Financial stress relationships among Euro area countries : an R vine Copula approach
... an ARMA-GARCH based R-vine copula method to explore the tail dependence of eleven Euro area countries’s financial conditions, with an aim of understanding how the degree of financial distress in each one of ...
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Price, Return and Volatility Linkages of Base Metal Futures traded in India
... the two markets for the five metals through three models - (a) Price – Co-integration methodology and Error Correction Mechanism Model (b) Return and Volatility – Modified GARCH model (c) Return and Volatility - ...
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Range Based Models in Estimating Value at Risk (VaR)
... This paper introduces new methods of estimating Value-at-Risk (VaR) using Range-Based GARCH (General Autoregressive Conditional Heteroskedasticity) models. These models, which could be either based on the ...
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Testing and modelling autoregressive conditional heteroskedasticity of streamflow processes
... (e.g. ARMA (AutoRegressive Moving Average) models for deseasonalized streamflow series and PARMA (Periodic AutoRegressive Moving Average) models for sea- sonal streamflow ...an ARMA-GARCH ...
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Currency Portfolio Risk Measurement with Generalized Autoregressive Conditional Heteroscedastic Extreme Value Theory Copula Model
... The GARCH-EVT- Copula model is applied to estimate the portfolio Value-at-Risk (VaR) of cur- rency exchange ...univariate ARMA-GARCH model is used to filter the return ...
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Inflation dynamics in Jamaica: Evidence from the ARMA methodology
... Table 10, with a forecast range of 10 years clearly shows that inflation rates in Jamaica will likely exceed the single-digit threshold within the next 10 years, ceteris paribus. With a 95% confidence interval of -13.4% ...
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