Search Results - "Garching"

An application of GARCH modeling on the Malaysian sukuk spreads by Rahman, Maya Puspa, Omar, Mohd Azmi, Kassim, Salina

“…This study explores the influencing factors of the Islamic bond (sukuk) spreads, by employing the generalised autoregressive conditional heteroscedasticity (GARCH) method. Apart from the general GARCH (1,1) model, a higher order of lags for both ARCH and GARCH terms are also considered which is applied onto both the investment and non-investment grade sukuk. …”
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Garch Models: Forecasting Volatility and Pricing Options by Joshi, Sahil

“…In this paper, accuracy of three popular GARCH models, GARCH(1,1), GJR-GARCH(1,1) & EGARCH(1,1) is compared with the actual realized volatility in case of $/£ exchange rate. …”
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Bayesian inference of multivariate-GARCH-BEKK models by Livingston, Jr, Glen, Nur, Darfiana

“…The main aim of this paper is to present a Bayesian analysis of Multivariate GARCH(l, m) (M-GARCH) models including estimation of the coefficient parameters as well as the model order, by combining a set of existing MCMC algorithms in the literature. …”
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Model GARCH Dan Jujukan Bersyarat GAUSS. by Kamil, Anton Abdulbasah

“…Terdapat suatu hubungan yanq erat diantara jujukan GARCH yang sering digunakan dalam model-model ekonometrik dengan proses bersyarat Gauss yang digunakan dalam peramalan dan teori penapisan. …”
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Liquidation discount-a novel application of ARFIMA-GARCH by Singh, R., Gould, John, Chan, F., Yang, J.

“…We obtain daily time series of instantaneous log liquidation discount for variously sized portfolios of Australian stocks and determine that these time series are best modeled with an Autoregressive Fractionally Integrated Moving Average-Generalized Autoregressive Conditional Heteroskedasticity (ARFIMA-GARCH) process. We then formulate a liquidation discount-at-risk measure with which portfolio managers can budget for the future cost of portfolio liquidity for a chosen liquidation horizon and confidence level.…”
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Structure and asymptotic theory for nonlinear models with GARCH errors by Chan, Felix, McAleer, M., Medeiros, M.

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Re-Parameterization of multi-regime STAR-GARCH model by Chan, Felix, Theoharakis, B.

“…Firstly, the log-likelihood functions of Exponential STAR-GARCH (ESTAR-GARCH) models tend to be flat around the global optimum near the true values of the transition rates. …”
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GARCH dependence in extreme value models with Bayesian inference by Zhao, X., Scarrott, C., Oxley, Leslie, Reale, M.

Subjects: “…GARCH…”
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Innovations in the ARIMA - GARCH Modeling in Forecasting Gold Price by Siti Roslindar, Yaziz, Roslinazairimah, Zakaria, Noor Azlinna, Azizan, Maizah Hura, Ahmad, Agrawal, Manju, Boland, John

“…Previous study showed that hybrid of ARIMA-GARCH is a promising approach in modeling and forecasting gold price. …”
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Performance of GARCH models in forecasting stock market volatility. by Choo, Wei Chong, Ahmad, Muhammad Idrees, Abdullah, Mat Yusoff

“…The models are stationary GARCH, unconstrained GARCH, non-negative GARCH, GARCH-M, exponential GARCH and integrated GARCH. …”
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Comparing the accuracy of density forecasts from competing GARCH models by Abu Hassan Shaari Mohd Nor, Ahmad Shamiri, Zaidi Isa

“…We include an illustrative simulation to compare a set of distributions, including symmetric and asymmetric distribution, and a family of GARCH volatility models. Our results on simulated data show that the choice of the conditional distribution appears to be a more dominant factor in determining the adequacy and accuracy (quality) of density forecasts than the choice of volatility model.…”
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Performance analysis of GARCH family models in three time-frames by Md. Jamal Hossain, Akter, Sadia, Mohd Tahir Ismail

“…Three sub-samples were considered to represent pre-crisis, crisis, and post-crisis between November 16, 2009 to July 31, 2013 representing 889 observations. Various GARCH family models were fitted in order to capture the volatility and their performances were compared.…”
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The volatility of the stock market and financial cycle : GARCH family models by Tran, Thuy Nhung

“…The paper initially assesses several types of GARCH models’ criteria, namely the log-likelihood, AIC and BIC, in choosing the best model to illustrate the financial cycle. …”
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Variance targeting estimator for GJR-GARCH under model’s misspecification by Muhammad Asmu’i Abdul Rahim, Siti Meriam Zahari, S. Sarifah Radiah Shariff

“…Based on the results, VTE has performed very well compared to QMLE under both simulation and the applications of real data sets, which can be considered as an alternative estimator when performing GARCH model, especially the GJR-GARCH.…”
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Forecasting Portfolio Risk Estimation by Using Garch and Var Methods by Noor Azlinna, Azizan, Lee, Chia Kuang, Zeenat, Ahmed

“…Motivates from this, we conducted an analysis to compare the effectiveness of VaR analysis and GARCH method in forecasting risk estimation. Risk manager can used the best methods in reducing their customers risk volatility and rank the risk level.…”
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GARCH models and distributions comparison for nonlinear time series with volatilities by Nur Haizum, Abd Rahman, Jia, Goh Hui, Hani Syahida, Zulkafli

“…The models considered are the standard GARCH, Integrated GARCH (IGARCH), Exponential GARCH (EGARCH), and Golsten, Jagannathan, and Runkle GARCH (GJR-GARCH), each with normal distribution, Student’s t-distribution, and Generalized Error Distribution (GED). …”
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The Performance of Hybrid ARIMA-GARCH Modeling in Forecasting Gold Price by Siti Roslindar, Yaziz, Noor Azlinna, Azizan, Roslinazairimah, Zakaria, Maizah Hura, Ahmad

“…The findings suggest that the potential combination of powerful and flexibility of ARIMA and the strength of GARCH models in handling volatility and risk in the data series as well as to overcome the linear limitation in the ARIMA models made the hybridization of ARIMA-GARCH model as a new promising approach in modeling and forecasting gold price.…”
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Modelling the volatility of currency exchange rate using GARCH model by Choo, Wei Chong, Loo, Sin Chun, Ahmad, Muhammad Idrees

“…This paper attempts to study GARCH models with their modifications, in capturing the volatility of the exchange rates. …”
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Garch models and distributions comparison for nonlinear time series with volatilities by Abdul Rahman, Nur Haizum, Jia, Goh Hui, Zulkafli, Hani Syahida

“…The models considered are the standard GARCH, Integrated GARCH (IGARCH), Exponential GARCH (EGARCH), and Golsten, Jagannathan, and Runkle GARCH (GJR-GARCH), each with normal distribution, Student’s t-distribution, and Generalized Error Distribution (GED). …”
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Forecasting currency in circulation in Malaysia using arch and garch models by Abdul Razak, Nur Azreen, Khamis, Azme, Abdullah, Mohd Asrul Affendi, Sufahani, Suliadi Firdaus

“…Two methods are considered, which are Autoregressive Conditional Heteroscedastic (ARCH) and Generalized Autoregressive Conditional Heteroskedasticity (GARCH). Using the Root Mean Square Error (RMSE) as the forecasting performance measure, this study concludes that GARCH is a more appropriate model compared to ARCH.…”
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