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Detail Comparison of GARCH and GARCHX Models

GARCH model with cross sectional volatility; GARCHX models

GARCH model with cross sectional volatility; GARCHX models

... of GARCHX Model Table 1 summaries some statistical properties of the cross-sectional and time-series market ...that GARCHX models perform better than GARCHX-T ...volatility models such ...

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garchx: Flexible and Robust GARCH-X Modelling

garchx: Flexible and Robust GARCH-X Modelling

... Realised GARCH of Hansen et ...the GARCH(4,4) example above will return a vector of length 9 rather than of length 3, while the coefficient-covariance returned by rugarch will be 3 × ...constrained ...

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Comparison of option pricing between ARMA-GARCH and GARCH-M models

Comparison of option pricing between ARMA-GARCH and GARCH-M models

... of models and their exten- sions. Then, we estimate the GARCH models for S &P 500 index using maximum likelihood estimation (MLE) ...and GARCH-M have similar fitting performance, especially ...

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Volatility estimation for Bitcoin: A comparison of GARCH models

Volatility estimation for Bitcoin: A comparison of GARCH models

... Keywords: Bitcoin, Cryptocurrency, GARCH, Volatility JEL classification: C22, C5, G1 1. Introduction The analysis of Bitcoin has recently received much attention. This can be attributed to its innovative features, ...

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Comparison of GARCH Models based on Different Distributions

Comparison of GARCH Models based on Different Distributions

... with GARCH models. Method for estimating the coefficients of GARCH models is mainly the maximum likelihood ...three GARCH models based on ...compare GARCH models ...

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A Forecast Comparison of Financial Volatility Models: GARCH (1,1) is not Enough

A Forecast Comparison of Financial Volatility Models: GARCH (1,1) is not Enough

... volatility models is due to the fact that volatility is not directly ...volatility models, identifying “bad” models from good ones is quite ...volatility models are to be made. Realized ...

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A comparison of volatility prediction between ARIMA-GARCH and VAR models

A comparison of volatility prediction between ARIMA-GARCH and VAR models

... The forecasting performance of the models is consistent with the review presented by Poon and Granger (2003), where the VAR models outperform GARCH models. Re- gardless of consensus with ...

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Multivariate GARCH models

Multivariate GARCH models

... multivariate GARCH models considered in previous sections by fitting them to the same data ...the comparison transparent, we only consider bivariate ...

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COMPARISON OF ASYMMETRIC GARCH MODELS ANALYSIS OF THE PIONEER AKCJI POLSKICH SUBFUND

COMPARISON OF ASYMMETRIC GARCH MODELS ANALYSIS OF THE PIONEER AKCJI POLSKICH SUBFUND

... positive innovations have the same impact on the current volatility. This sym- metry has the following interpretation in the form of covariance. If innovations are symmetrical and the GARCH process is second ...

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Modelling and forecasting the volatility of JSE returns: a comparison of competing univariate GARCH models

Modelling and forecasting the volatility of JSE returns: a comparison of competing univariate GARCH models

... of GARCH model based forecasts against the Exponentially Weighted Moving Average and the South African Volatility Index on forecasting future volatility of FTSE/JSE Top 40 ...univariate GARCH models ...

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Risk Forecasting of Karachi Stock Exchange:  A Comparison of Classical and Bayesian GARCH Models

Risk Forecasting of Karachi Stock Exchange: A Comparison of Classical and Bayesian GARCH Models

... using GARCH models in Bayesian ...the comparison of ...in GARCH model may encourage academicians and researchers in Pakistan to apply Bayesian methods for local financial ...

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Bayesian semiparametric GARCH models

Bayesian semiparametric GARCH models

... In comparison to the semiparametric GARCH model with localized bandwidths, the t- GARCH model underestimates the VaR by an amount that is between ...semiparametric GARCH model is not favored ...

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GARCH models without positivity constraints: Exponential or Log GARCH?

GARCH models without positivity constraints: Exponential or Log GARCH?

... a comparison with the ...of models on typical financial ...two models may render one or the other formulation more adequate for certain types of ...

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Forecasting Stock Return Volatility: A Comparison of GARCH, Implied Volatility, and Realized Volatility Models

Forecasting Stock Return Volatility: A Comparison of GARCH, Implied Volatility, and Realized Volatility Models

... type models are good predictors of stock index volatility providing evidence from the S&P500, DJIA and NASDAQ100 ...type models against a random walk ...of GARCH, IV and RV is assessed. In total, ten ...

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Forecasting Swedish Stock Market Volatility and Value-at-Risk: A Comparison of EWMA and GARCH Models

Forecasting Swedish Stock Market Volatility and Value-at-Risk: A Comparison of EWMA and GARCH Models

... APARCH models best for forecasting volatility, while for forecasting VaR the best models are either APARCH, GJR-GARCH or EGARCH—depending on which level of VaR we use—paired with conditional ...

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Estimating Dhaka Stock Market Volatility: A Comparison between Standard and Asymmetric GARCH Models

Estimating Dhaka Stock Market Volatility: A Comparison between Standard and Asymmetric GARCH Models

... This paper compares and estimates standard and asymmetric GARCH models with daily returns data of the DSI index (All Share Price Index) ofthe Dhaka Stock Exchange fiom 28 March 2005 [r] ...

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The Comparison among ARIMA and hybrid ARIMA-GARCH Models in Forecasting the Exchange Rate of Iran

The Comparison among ARIMA and hybrid ARIMA-GARCH Models in Forecasting the Exchange Rate of Iran

... monetary/asset models are not very useful to explain the movements in exchange rates under flexible exchange rate ...rate models were not able to give superior forecasting performance because these ...

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On the forecasting accuracy of multivariate GARCH models

On the forecasting accuracy of multivariate GARCH models

... To measure out-of-sample forecasting performance, model based forecasts are usually com- pared to ex-post realizations as they become available. To do this, the forecaster needs to select a loss function and a proxy for ...

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Misspecification Testing in GARCH-MIDAS Models

Misspecification Testing in GARCH-MIDAS Models

... in GARCH’ test for evaluating GARCH models as proposed by Lundbergh and Ter¨asvirta ...a GARCH process and, thereby, leads to a different test ...in comparison to our test ...

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On the statistical properties of multiplicative GARCH models

On the statistical properties of multiplicative GARCH models

... multiplicative GARCH model to have a clearly distinct decay pattern in comparison to the ACF of its nested GARCH ...tive GARCH behaves like the ACF typically observed for squared returns, ...

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