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The pricing model of pension benefit guaranty corporation insurance with regime-switching processes

Chen, Ting-Fu; Lin, Shih-kuei; Chang, An-Sing; Wang, Wei-Hao - In: Journal of Risk and Financial Management 15 (2022) 6, pp. 1-23

This paper aims to evaluate Pension Benefit Guaranty Corporation (PBGC) insurance values through regime-switching models. We separate periods of the economy with faster growth from those with slower growth to observe long-term trends in the economy. We derive a fair PBGC insurance pricing...

Persistent link: https://www.econbiz.de/10014332459

Asymmetry and leverage with news impact curve perspective in Australian stock returns' volatility during COVID-19

Iqbal, Najam; Manzoor, Muhammad Saqib; Bhatti, Muhammad … - In: Journal of Risk and Financial Management 14 (2021) 7, pp. 1-15

generalised autoregressive conditional heteroskedasticity (GARCH) model and extend the analysis using the exponential GARCH … than the GARCH model in estimating the volatility of the Australian stock returns. However, another interesting finding is …

Persistent link: https://www.econbiz.de/10013200998

Bitcoin return volatility forecasting: A comparative study between GARCH and RNN

Shen, Ze; Wan, Qing; Leatham, David J. - In: Journal of Risk and Financial Management 14 (2021) 7, pp. 1-18

forecasting accuracy and risk management efficiency. The results demonstrate that the RNN outperforms GARCH and EWMA in average …

Persistent link: https://www.econbiz.de/10013201021

Modelling returns in US housing prices: You're the one for me, fat tails

Kiss, Tamás; Nguyen, Hoang; Österholm, Pär - In: Journal of Risk and Financial Management 14 (2021) 11, pp. 1-17

investigated the sources of heavy tails by estimating autoregressive models in which innovations can be subject to GARCH effects … both within- and out-of-sample. We found strong evidence in favour of modelling both GARCH effects and non …

Persistent link: https://www.econbiz.de/10013201190

Return based risk measures for non-normally distributed returns: An alternative modelling approach

Samunderu, Eyden; Murahwa, Yvonne T. - In: Journal of Risk and Financial Management 14 (2021) 11, pp. 1-48

Developments in the world of finance have led the authors to assess the adequacy of using the normal distribution assumptions alone in measuring risk. Cushioning against risk has always created a plethora of complexities and challenges; hence, this paper attempts to analyse statistical...

Persistent link: https://www.econbiz.de/10013201223

The effect of index option trading on stock market volatility in China: An empirical investigation

Wu, Kai; Liu, Yi; Feng, Weiyang - In: Journal of Risk and Financial Management 15 (2022) 4, pp. 1-19

, including principal component analysis, GARCH-family model, and LASSO regression. The results of this paper suggest that the …

Persistent link: https://www.econbiz.de/10013201453

Value-at-risk for South-East Asian stock markets: Stochastic volatility vs. GARCH

Quang, Paul Bui; Klein, Tony; Walther, Thomas - In: Journal of Risk and Financial Management 11 (2018) 2, pp. 1-20

markets. We use filtered historical simulations, GARCH models, and stochastic volatility models. The out-of-sample performance … models, we obtain better Value-at-Risk forecasts compared to GARCH. The quality varies over forecasting horizons and across …

Persistent link: https://www.econbiz.de/10012611007

Can bitcoin replace gold in an investment portfolio?

Henriques, Irene; Sadorsky, Perry A. - In: Journal of Risk and Financial Management 11 (2018) 3, pp. 1-19

several different multivariate GARCH models (dynamic conditional correlation (DCC), asymmetric DCC (ADCC), generalized … orthogonal GARCH (GO-GARCH)) to estimate minimum variance equity portfolios. Both long and short portfolios are considered. An …

Persistent link: https://www.econbiz.de/10012611022

Forecasting volatility: Evidence from the Saudi stock market

Al Rahahleh, Naseem M.; Kao, Robert - In: Journal of Risk and Financial Management 11 (2018) 4, pp. 1-18

autoregressive conditional heteroskedasticity (GARCH)-class models in terms of their in-sample and out-of-sample forecasting accuracy … 2015. The results suggest that the Asymmetric Power of ARCH (APARCH) model is the most accurate model in the GARCH class …

Persistent link: https://www.econbiz.de/10012611046

Cryptocurrency returns before and after the introduction of Bitcoin futures

Deniz, Pinar; Stengos, Thanasēs - In: Journal of Risk and Financial Management 13 (2020) 6, pp. 1-21

important in the pre period, while search intensity still stands out in the post period. Furthermore, GARCH analyses suggest …

Persistent link: https://www.econbiz.de/10012611345