Search Results - subject:"GARCH"

A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model

Kang, Jian; Jakobsen, Johan Stax; Silvennoinen, Annastiina - 2022

Persistent link: https://www.econbiz.de/10012816369

Cryptocurrencies intraday high-frequency volatility spillover effects using univariate and multivariate GARCH models

Ampountolas, Apostolos - In: International Journal of Financial Studies : open … 10 (2022) 3, pp. 1-22

select the best model. We propose various generalized autoregressive conditional heteroscedasticity (GARCH) family models …, including an sGARCH(1,1), GJR-GARCH(1,1), TGARCH(1,1), EGARCH(1,1), which we compare to a multivariate DCC-GARCH(1,1) model to … demonstrate that the univariate GJR-GARCH model (1,1) shows a superior predictive accuracy at all horizons, followed closely by …

Persistent link: https://www.econbiz.de/10013368338

A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model

Kang, Jian; Jakobsen, Johan Stax; Silvennoinen, Annastiina - In: Econometrics : open access journal 10 (2022) 3, pp. 1-41

GARCH model, where the GARCH equations are time-varying. The alternative to constancy is that the correlations change …

Persistent link: https://www.econbiz.de/10013459316

The impact of Covid-19 and Russia-Ukraine war on the financial asset volatility : evidence from equity, cryptocurrency and alternative assets

Taera, Edosa Getachew; Setiawan, Budi; Saleem, Adil; … - In: Journal of open innovation : technology, market, and … 9 (2023) 3, pp. 1-15

markets during times of crises triggered by Covid-19 and the war in Ukraine. Univariate GARCH family models are used to …

Persistent link: https://www.econbiz.de/10014504731

The volatility of green and non-green sovereign bonds on the emerging EU markets

Mészáros, Mercédesz; Csiki, Máté; Kiss, Gábor Dávid - In: European financial and accounting journal : EFAJ 18 (2023) 1, pp. 25-44

volatilities, and the green premiums towards their standard forms using GARCH models. Our result suggested that the Polish and …

Persistent link: https://www.econbiz.de/10014549508

Return and volatility spillovers of Asian Pacific stock markets' energy indices

Babu, Manivannan; Hariharan, C.; Srinivasan, S.; … - In: International Journal of Energy Economics and Policy : IJEEP 13 (2023) 1, pp. 61-66

Persistent link: https://www.econbiz.de/10014235194

How does oil price uncertainty affect output in the Central and Eastern European economies? : the Bayesian-based approaches

Živkov, Dejan; Đurašković, Jasmina - In: Applied economic analysis : AEA 31 (2023) 91, pp. 39-54

Persistent link: https://www.econbiz.de/10014249456

Bayesian predictive distributions of oil returns using mixed data sampling volatility models

Virbickaite, Audrone; Nguyen, Hoang; Minh-Ngoc Tran - 2023

such as Generalized Autoregressive Conditional Heteroskedastic (GARCH), Generalized Autoregressive Score (GAS), and … inclusion of exogenous variables is beneficial for GARCH-type models while offering only a marginal improvement for GAS and SV …

Persistent link: https://www.econbiz.de/10014252427

Complex network analysis of volatility spillovers between global financial indicators and G20 stock markets

Korkusuz, Burak; McMillan, David G.; Kambouroudis, Dimos - In: Empirical economics : a quarterly journal of the … 64 (2023) 4, pp. 1517-1537

Persistent link: https://www.econbiz.de/10014253685

The rapid rise of Russia's wheat exports : price formation, spot-futures relations and volatility effects

Heigermoser, Maximilian - Leibniz-Institut für Agrarentwicklung in … - 2023

Over the past two decades, the Black Sea region has exhibited significantly growing wheat production and exports. In 2017/18, Russia ultimately became the world’s largest wheat exporter, a position that was held by the USA for decades. Mostly serving destination markets in the Middle East and...

Persistent link: https://www.econbiz.de/10013534341